This repository provides the Jupyter Notebook accompanying the manuscript On Parametric Optimal Execution and Machine Learning Surrogates by Tao Chen, Mike Ludkovski, and Moritz Voß (Quantitative Finance, 2023).
- Optimal_Execution_ML_Surrogates.ipynb: Main Jupyter Notebook for NN training and testing.
- LinearModel.py: Implementation of the optimal linear benchmark policy.
- 50_1_nopti: Optimal quantization grid of the standard univariate normal distribution of size 50 (from www.quantize.maths-fi.com)