Reinforcement Learning for Optimal Execution

Beating TWAP on a LOBSTER Replay Optimal execution is the part of the trading stack where small percentages compound into real money. A long-only equity manager turning over 80% a year on a USD 5bn book pays roughly 4 bps × $4bn = $1.6m for every basis point of slippage. The textbook approach — Almgren–Chriss Continue reading "Reinforcement Learning for Optimal Execution" The post Reinforcement…