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.
Reinforcement learning for optimal execution when liquidity is time-varying
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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.