https://github.com/g0bel1n/ddql-optimal-execution

Double Deep Q-Learning for Optimal Execution implementation
https://github.com/g0bel1n/ddql-optimal-execution

deep-learning double-dqn finance rl

Last synced: 6 months ago
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Double Deep Q-Learning for Optimal Execution implementation

• Host: GitHub
• URL: https://github.com/g0bel1n/ddql-optimal-execution
• Owner: g0bel1n
• License: mit
• Created: 2023-03-03T08:23:00.000Z (over 2 years ago)
• Default Branch: main
• Last Pushed: 2023-04-30T23:00:21.000Z (over 2 years ago)
• Last Synced: 2025-04-03T09:48:33.381Z (6 months ago)
• Topics: deep-learning, double-dqn, finance, rl
• Language: Python
• Homepage:
• Size: 7.88 MB
• Stars: 8
• Watchers: 2
• Forks: 1
• Open Issues: 1
• Metadata Files:
  • Readme: README.md
  • License: LICENSE.txt

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README

          


# DDQL-optimal-execution

Double Deep Q-Learning for Optimal Execution implementation

[![pytest](https://img.shields.io/github/actions/workflow/status/g0bel1n/DDQL-optimal-execution/tests.yml?label=Tests&style=for-the-badge)](https://github.com/g0bel1n/DDQL-optimal-execution/actions/workflows/tests.yml)  [![ Hey](https://img.shields.io/github/actions/workflow/status/g0bel1n/DDQL-optimal-execution/sphinx.yml?label=docs&style=for-the-badge)](https://github.com/g0bel1n/DDQL-optimal-execution/actions/workflows/sphinx.yml)

Documentation with quickstart and installation guide : [here](https://g0bel1n.github.io/DDQL-optimal-execution/index.html)

# Notes

- Action space is taken as an integer to avoid minimization

# Bibliography

Ning, B., Lin, F.H.T. and Jaimungal, S. (2020) Double deep Q-learning for optimal execution, arXiv.org. Available at: https://arxiv.org/abs/1812.06600 (Accessed: April 16, 2023).