A reinforcement learning approach to optimal execution
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Publication:5079392
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Cites work
- Adaptive execution: exploration and learning of price impact
- Deep learning for limit order books
- Deep optimal stopping
- Monte Carlo valuation of American options
- On Overfitting and Asymptotic Bias in Batch Reinforcement Learning with Partial Observability
- Optimal search and one-way trading online algorithms
- Pricing American Options: A Duality Approach
- Solving high-dimensional optimal stopping problems using deep learning
Cited in
(15)- Predictive market making via machine learning
- Deep reinforcement learning for the optimal placement of cryptocurrency limit orders
- Adaptive execution: exploration and learning of price impact
- Learning to profit with discrete investment rules
- Learning a functional control for high-frequency finance
- Deep differentiable reinforcement learning and optimal trading
- Double deep Q-learning for optimal execution
- Accelerated share repurchase and other buyback programs: what neural networks can bring
- Foundations of Reinforcement Learning with Applications in Finance
- On parametric optimal execution and machine learning surrogates
- Recent advances in reinforcement learning in finance
- A data-driven deep learning approach for options market making
- Improving reinforcement learning algorithms: Towards optimal learning rate policies
- Optimal liquidation of a basket of stocks using reinforcement learning
- Reinforcement learning for trade execution with market and limit orders
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