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.
Authors
- Ljupčo Kocarev (ORCID: https://orcid.org/0000-0001-7243-7074)
- Xi Zhang (ORCID: https://orcid.org/0000-0002-4638-3997)
- Hao Shi
- Cuicui Luo
- Desheng Wu
Institutions
- Macedonian Academy of Sciences and Arts (MK)
- University of Chinese Academy of Sciences (CN)
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
- 0.00