Paper Review on Optimal Execution of Portfolio Transactions by Almgren and Chriss
Model Framework Brainstrom
Report
Optimal Stock Liquidation Strategy with DDPG Agent.pdf
Examined Almgren-Chriss model and time series volatility models such as ARCH, GARCH
Implemented an optimal stock trading strategy with DDPG Agent and compare with baseline strategies
For Implementation, checkout my github repository.
https://github.com/bonwoo-koo9/Optimal-Trade-Execution-using-Reinforcement-Learning