Reinforcement learning for optimized trade execution

ICML 2006 - Proceedings of the 23rd International Conference on Machine Learning

Volumn 2006, Issue , 2006, Pages 673-680

  Nevmyvaka, Yuriy ^a   Feag, Yi ^b   Kearns, Michael ^b  

^a LEHMAN BROTHERS   (United States)

^b UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

INDUSTRIAL MANAGEMENT; LEARNING ALGORITHMS; MATHEMATICAL MODELS; MICROSTRUCTURE; OPTIMIZATION;

FACTORIZATION; LEARNING ALGORITHM; MARKET MICROSTRUCTURE PROBLEMS; REINFORCEMENT LEARNING;

LEARNING SYSTEMS;

EID: 33749242089     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (10)

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3. Chan, N., Shelton, C., Poggio, T., An Electronic Market-Maker. AI Memo, MIT, 2001.
4. Coggins, R., Blazejewski, A., Aitken, M., Optimal Trade Execution of Equities in a Limit Order Market, International Conference on Computational Intelligence for Financial Engineering, pp. 371-378, March, 2003.
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8. Mitchell, T., Machine Learning, McGraw Hill, 1997.
9. Nevmyvaka, Y., Kearns, M., Papandreou, A., Sycara, K, Electronic Trading in Order-Driven Markets: Efficient Execution. In the Proceedings of IEEE International Conference on E-Commerce Technology, 2005.
10. Tesauro, G., and Bredin, J., Strategic Sequential Bidding in Auctions Using Dynamic Programming. Proceedings of AAMAS-02.