New RL trading environments with Almgren-Chriss market impact models demonstrate that realistic execution costs materially alter algorithm performance, rankings, and trading behavior compared to fixed-cost baselines.
Direct estimation of equity market impact
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Realistic Market Impact Modeling for Reinforcement Learning Trading Environments
New RL trading environments with Almgren-Chriss market impact models demonstrate that realistic execution costs materially alter algorithm performance, rankings, and trading behavior compared to fixed-cost baselines.