Optimal liquidation of a basket of stocks using reinforcement learning

DOI10.1137/1.9781611977745.6zbMATH Open1545.91299MaRDI QIDQ6567640FDOQ6567640

Moustapha Pemy, Na Zhang

Publication date: 5 July 2024

zbMATH Keywords

reinforcement learningalgorithmic tradingdiscrete-time stochastic optimal controlselling rulesVWAP

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Financial markets (91G15) Optimal stochastic control (93E20)

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