Reinforcement Learning for Optimal Execution When Liquidity Is Time-Varying

DOI10.1080/1350486X.2025.2490157MaRDI QIDQ6934511zbMATH OpenFDO

Authors Fabrizio Lillo

Publication date 3 September 2025

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

Full work available at URL https://doi.org/10.1080/1350486X.2025.2490157

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Financial markets (91G15)

Cites work

• Algorithmic and high-frequency trading
• Deep differentiable reinforcement learning and optimal trading
• Deep reinforcement learning for the optimal placement of cryptocurrency limit orders
• Double deep Q-learning for optimal execution
• Fluctuations and response in financial markets: the subtle nature of `random' price changes
• General intensity shapes in optimal liquidation
• Incorporating order-flow into optimal execution
• Liquidity fluctuations and the latent dynamics of price impact
• Mean-variance optimal adaptive execution
• Optimal basket liquidation for CARA investors is deterministic
• Optimal liquidation under stochastic price impact
• Optimal portfolio execution problem with stochastic price impact
• Optimal portfolio liquidation with limit orders
• Optimal trading with signals and stochastic price impact
• Trading algorithms with learning in latent alpha models
• Transient linear price impact and Fredholm integral equations

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