1 citations · 1 across the 10 of their papers we have counts for
Showing 2025Show all
2 papers · 1 filter
q-fin.TR2025
Reinforcement Learning in Queue-Reactive Models: Application to Optimal Execution
Tomas Espana, Yadh Hafsi, Fabrizio Lillo +1
We investigate the use of Reinforcement Learning for the optimal execution of meta-orders, where the objective is to execute incrementally large orders while minimizing implementat…
q-fin.MF2025
Optimal Execution under Liquidity Uncertainty
Etienne Chevalier, Yadh Hafsi, Vathana Ly Vath +1
We study an optimal execution strategy for purchasing a large block of shares over a fixed time horizon. The execution problem is subject to a general price impact that gradually d…