Corpus ID: 174803358

Risk-Sensitive Compact Decision Trees for Autonomous Execution in Presence of Simulated Market Response

@article{Vyetrenko2019RiskSensitiveCD,
  title={Risk-Sensitive Compact Decision Trees for Autonomous Execution in Presence of Simulated Market Response},
  author={Svitlana Vyetrenko and Shaojie Xu},
  journal={ArXiv},
  year={2019},
  volume={abs/1906.02312}
}
We demonstrate an application of risk-sensitive reinforcement learning to optimizing execution in limit order book markets. We represent taking order execution decisions based on limit order book knowledge by a Markov Decision Process; and train a trading agent in a market simulator, which emulates multi-agent interaction by synthesizing market response to our agent's execution decisions from historical data. Due to market impact, executing high volume orders can incur significant cost. We… Expand
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