Double Deep Q-Learning for Optimal Execution

DOI10.1080/1350486X.2022.2077783zbMath1497.91299arXiv1812.06600OpenAlexW3122116365MaRDI QIDQ5093248

Brian Ning, Franco Ho Ting Lin, Sebastian Jaimungal

Publication date: 26 July 2022

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1812.06600

zbMATH Keywords

reinforcement learningoptimal executionalgorithmic tradingDDQN

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Optimal stochastic control (93E20) Financial markets (91G15)

Cites Work

• Unnamed Item
• Incorporating order-flow into optimal execution
• \({\mathcal Q}\)-learning
• Deep learning for limit order books
• GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION

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