This is huge if you ask me. First it was roboadvisers and now the machines are going to take over trading.
The machine learning agent found and exploited arbitrage opportunities in the presence of transaction costs in a simulated market proof of concept. via Newsweek
What I gleaned from this article is that the strategies are found using some sort of deep learning application. Namely, reinforcement learning.
Ritter said: "You can't be myopic and win these games. So reinforcement learning is a general framework for solving those types of problems where you have a delayed reward or you are trying to maximise a cumulative reward over time.
I can hear the screams already, the machines are coming for our traders! First it was HFT and now this! Here's a link to the actual paper.