WAX-ML: A Python library for machine learning and feedback loops on streaming data

Wax is what you put on a surfboard to avoid slipping. It is an essential tool to go surfing... We introduce WAX-ML a research-oriented Python library providing tools to design powerful machine learning algorithms and feedback loops working on streaming data. It strives to complement JAX with tools dedicated to time series. WAX-ML makes JAX-based programs easy to use for end-users working with pandas and xarray for data manipulation. It provides a simple mechanism for implementing feedback loops, allows the implementation of online learning and reinforcement learning algorithms with functions, and makes them easy to integrate by end-users working with the object-oriented reinforcement learning framework from the Gym library. It is released with an Apache open-source license on GitHub at https://github.com/eserie/wax-ml.

Deep Deterministic Portfolio Optimization

Can deep reinforcement learning algorithms be exploited as solvers for optimal trading strategies? The aim of this work is to test reinforcement learning algorithms on conceptually simple, but mathematically non-trivial, trading environments. The environments are chosen such that an optimal or close-to-optimal trading strategy is known. We study the deep deterministic policy gradient algorithm and show that such a reinforcement learning agent can successfully recover the essential features of the optimal trading strategies and achieve close-to-optimal rewards.