Corpus ID: 56482327

Double Deep Q-Learning for Optimal Execution

@article{Ning2018DoubleDQ,
  title={Double Deep Q-Learning for Optimal Execution},
  author={Brian Ning and Franco Ho Ting Ling and Sebastian Jaimungal},
  journal={ArXiv},
  year={2018},
  volume={abs/1812.06600}
}

Brian Ning, Franco Ho Ting Ling, Sebastian Jaimungal

Published in ArXiv 2018

Economics, Computer Science, Mathematics

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 to estimate the optimal actions of a trader. The model is a fully connected Neural Network trained using Experience Replay and Double DQN with input features given by the current state of the limit… CONTINUE READING

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