流动性随时间变化时优化执行的强化学习

Andrea Macrì, Fabrizio Lillo
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引用次数: 0

摘要

最佳执行是任何交易者都面临的一个重要问题。大多数解决方案都基于市场影响恒定的假设,而众所周知流动性是动态的。此外,具有时变流动性的模型通常假定流动性是可观测的,尽管事实上流动性是潜在的,难以实时测量。在本文中,我们展示了在流动性时变的情况下,使用基于神经网络的强化学习(Double DeepQ-learning)能够学习最优交易策略。具体来说,我们考虑了一个 Almgren-Chriss 框架,该框架具有临时和永久影响参数,并遵循几种确定性和随机动态。通过大量的数值实验,我们发现当分析解可用时,训练有素的算法可以学习到最优策略,而当分析解不可用时,算法可以克服基准解和近似解。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Reinforcement Learning for Optimal Execution when Liquidity is Time-Varying
Optimal execution is an important problem faced by any trader. Most solutions are based on the assumption of constant market impact, while liquidity is known to be dynamic. Moreover, models with time-varying liquidity typically assume that it is observable, despite the fact that, in reality, it is latent and hard to measure in real time. In this paper we show that the use of Double Deep Q-learning, a form of Reinforcement Learning based on neural networks, is able to learn optimal trading policies when liquidity is time-varying. Specifically, we consider an Almgren-Chriss framework with temporary and permanent impact parameters following several deterministic and stochastic dynamics. Using extensive numerical experiments, we show that the trained algorithm learns the optimal policy when the analytical solution is available, and overcomes benchmarks and approximated solutions when the solution is not available.
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