I came across a few instances of papers claiming to formulate a markov decision process for trading strategies trained on orderbook data. They claim solve it using reinforcement learning, but yet somewhere in the exposition they would make the assumption that their actions have zero impact on the system.
So my question is, what’s there to reinforcement learn, when your actions don’t impact the system?
Wouldn’t it end up to be merely “learn from history”? Meaning it would end up being trained such that it just picks what historically gives the best outcome?