HARL-TRADE: A hierarchical adaptive reinforcement learning framework for second-level high-frequency trading

High-frequency trading (HFT) demands adaptive strategies to navigate volatile markets. Current cutting-edge discrete sub-agent frameworks struggle with rigid market condition allocations, limiting adaptability. We propose a hierarchical framework with an attention-based meta-agent for dynamic sub-agent coordination. By leveraging market embeddings and reinforcement learning, the meta-agent optimally adjusts responsibility weights, enabling adaptive action aggregation across market regimes. Experiments on historical second-level HFT data show that the proposed framework outperforms state-of-the-art baselines, achieving a 42.15% total return and a 4.19 Sharpe ratio. Ablation studies validate the contributions of the dynamic sub-agent assign mechanism and multi-head attention mechanism, highlighting the framework's ability to adapt to market transitions and deliver superior performance.

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Publication Details

Journal
Chaos An Interdisciplinary Journal of Nonlinear Science
Published
2026-02-01
DOI
https://doi.org/10.1063/5.0304091
Primary Topic
Complex Systems and Time Series Analysis
Type
article
Field-Weighted Citation Impact
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article

HARL-TRADE: A hierarchical adaptive reinforcement learning framework for second-level high-frequency trading

Ljupčo Kocarev, Xi Zhang, Hao Shi, Cuicui Luo et al.
Chaos An Interdisciplinary Journal of Nonlinear Science
Complex Systems and Time Series Analysis
article

HARL-TRADE: A hierarchical adaptive reinforcement learning framework for second-level high-frequency trading

Ljupčo Kocarev, Xi Zhang, Hao Shi, Cuicui Luo, Desheng Wu
article en

Abstract

High-frequency trading (HFT) demands adaptive strategies to navigate volatile markets. Current cutting-edge discrete sub-agent frameworks struggle with rigid market condition allocations, limiting adaptability. We propose a hierarchical framework with an attention-based meta-agent for dynamic sub-agent coordination. By leveraging market embeddings and reinforcement learning, the meta-agent optimally adjusts responsibility weights, enabling adaptive action aggregation across market regimes. Experiments on historical second-level HFT data show that the proposed framework outperforms state-of-the-art baselines, achieving a 42.15% total return and a 4.19 Sharpe ratio. Ablation studies validate the contributions of the dynamic sub-agent assign mechanism and multi-head attention mechanism, highlighting the framework's ability to adapt to market transitions and deliver superior performance.

Chaos An Interdisciplinary Journal of Nonlinear ScienceVol. 36(2)
Macedonian Academy of Sciences and Arts (MK), University of Chinese Academy of Sciences (CN)
Openalex Percentile: Top 53%
Complex Systems and Time Series Analysis
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