Papers
Topics
Authors
Recent
Gemini 2.5 Flash
Gemini 2.5 Flash
131 tokens/sec
GPT-4o
10 tokens/sec
Gemini 2.5 Pro Pro
47 tokens/sec
o3 Pro
4 tokens/sec
GPT-4.1 Pro
38 tokens/sec
DeepSeek R1 via Azure Pro
28 tokens/sec
2000 character limit reached

Hierarchical Deep Reinforcement Learning for VWAP Strategy Optimization (2212.14670v1)

Published 11 Dec 2022 in q-fin.TR, cs.AI, cs.LG, and q-fin.ST

Abstract: Designing an intelligent volume-weighted average price (VWAP) strategy is a critical concern for brokers, since traditional rule-based strategies are relatively static that cannot achieve a lower transaction cost in a dynamic market. Many studies have tried to minimize the cost via reinforcement learning, but there are bottlenecks in improvement, especially for long-duration strategies such as the VWAP strategy. To address this issue, we propose a deep learning and hierarchical reinforcement learning jointed architecture termed Macro-Meta-Micro Trader (M3T) to capture market patterns and execute orders from different temporal scales. The Macro Trader first allocates a parent order into tranches based on volume profiles as the traditional VWAP strategy does, but a long short-term memory neural network is used to improve the forecasting accuracy. Then the Meta Trader selects a short-term subgoal appropriate to instant liquidity within each tranche to form a mini-tranche. The Micro Trader consequently extracts the instant market state and fulfils the subgoal with the lowest transaction cost. Our experiments over stocks listed on the Shanghai stock exchange demonstrate that our approach outperforms baselines in terms of VWAP slippage, with an average cost saving of 1.16 base points compared to the optimal baseline.

Citations (2)

Summary

We haven't generated a summary for this paper yet.