A Reinforcement Learning Algorithm for Optimal Order Execution Problems
碩士 === 國立中山大學 === 應用數學系研究所 === 107 === This study focuses on the optimal execution problem when a trader split a large orders into small market orders over time. The objective is to minimize the total execution cost. First, we introduce a limit order book model in which the market depth is governed...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2019
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| Online Access: | http://ndltd.ncl.edu.tw/handle/w3s3q6 |