A reinforcement learning approach to optimal execution

DOI10.1080/14697688.2022.2039403zbMath1491.91134OpenAlexW4220866459MaRDI QIDQ5079392

Ciamac Cyrus Moallemi, Muye Wang

Publication date: 27 May 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2039403

zbMATH Keywords

optimal stoppingreinforcement learningtemporal difference learningoptimal execution

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Stopping times; optimal stopping problems; gambling theory (60G40) Financial markets (91G15)

Uses Software

• TotalView

Cites Work

• Adaptive Execution: Exploration and Learning of Price Impact
• Pricing American Options: A Duality Approach
• Monte Carlo valuation of American options
• Solving high-dimensional optimal stopping problems using deep learning
• Deep learning for limit order books
• On Overfitting and Asymptotic Bias in Batch Reinforcement Learning with Partial Observability
• Deep optimal stopping
• Optimal search and one-way trading online algorithms

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