Double Deep Q-Learning for Optimal Execution

Optimal trade execution is an important problem faced by essentially all traders. Much research into optimal execution uses stringent model assumptions and applies continuous time stochastic control to solve them. Here, we instead take a model free approach and develop a variation of Deep Q-Learning...

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Veröffentlicht in:	arXiv.org 2020-06
Hauptverfasser:	Ning, Brian, Franco Ho Ting Lin, Jaimungal, Sebastian
Format:	Artikel
Sprache:	eng
Schlagworte:	Gain-Loss Neural networks Optimal control Stochastic processes
Online-Zugang:	Volltext
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