Optimal Execution Strategy for Large Orders in Big Data: Order Type using Q-learning Considerations

Author:

Javadpour Amir,Saedifar Kh,Wang Guojun,Li Kuan-Ching

Funder

National Natural Science Foundation of China

Publisher

Springer Science and Business Media LLC

Subject

Electrical and Electronic Engineering,Computer Science Applications

Reference29 articles.

1. Kissell, R., Glantz, M., & Malamut, R. (2003). Optimal trading strategies: Quantitative approaches for managing market impact and trading risk.

2. Cui, W., Brabazon, A., & O’Neill, M. (2011). Dynamic trade execution: A grammatical evolution approach.

3. Johnson, B. (2010). Algorithmic Trading & DMA: An introduction to direct access trading strategies (Vol. 200). London: Myeloma Press.

4. Bertsimas, D., & Lo, A. W. (1998). Optimal control of execution costs. Journal of Financial Markets,1(1), 1–50.

5. Moazeni, S., Coleman, T. F., & Li, Y. (2010). Optimal portfolio execution strategies and sensitivity to price impact parameters. SIAM Journal on Optimization,20(3), 1620–1654.

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