Reinforcement Learning for Optimal Execution when Liquidity is Time-Varying
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- Jean-Philippe Bouchaud & Yuval Gefen & Marc Potters & Matthieu Wyart, 2003.
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- Jean-Philippe Bouchaud & Yuval Gefen & Marc Potters & Matthieu Wyart, 2003. "Fluctuations and response in financial markets: the subtle nature of `random' price changes," Science & Finance (CFM) working paper archive 0307332, Science & Finance, Capital Fund Management.
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This paper has been announced in the following NEP Reports:- NEP-BIG-2024-03-25 (Big Data)
- NEP-CMP-2024-03-25 (Computational Economics)
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