78 citations · 161 across the 7 of their papers we have counts for
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q-fin.TR2014★ 78 cited
A reinforcement learning extension to the Almgren-Chriss model for optimal trade execution
Dieter Hendricks, Diane Wilcox
Reinforcement learning is explored as a candidate machine learning technique to enhance existing analytical solutions for optimal trade execution with elements from the market micr…
q-fin.CP2014★ 7 cited
High-speed detection of emergent market clustering via an unsupervised parallel genetic algorithm
Dieter Hendricks, Diane Wilcox, Tim Gebbie
We implement a master-slave parallel genetic algorithm (PGA) with a bespoke log-likelihood fitness function to identify emergent clusters within price evolutions. We use graphics p…