/almgren-chriss

Deep reinforcement learning for optimal execution of portfolio transactions.

Primary LanguagePythonMIT LicenseMIT

almgren-chriss

Build PyPI - Python Version GitHub

Deep reinforcement learning for optimal execution of portfolio transactions.

Installation

pip install acrl

Usage

from acrl import AlmgrenChriss

AlmgrenChriss(liquidation_time=60, n_trades=60, risk_aversion=0, episodes=10000).run()