TT-DAC-PS, an enhanced version of TD3, achieves lower mean implementation shortfall than PPO, SAC, A2C, TWAP, VWAP, and AC on LOB data from ten U.S. stocks.
Double deep q-learning for optimal trade execution.arXiv preprint arXiv:1812.06600, 2018
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TT-DAC-PS: Twin-Target Deterministic Actor-Critic with Policy Smoothing for Optimal Trade Execution
TT-DAC-PS, an enhanced version of TD3, achieves lower mean implementation shortfall than PPO, SAC, A2C, TWAP, VWAP, and AC on LOB data from ten U.S. stocks.