An optimal control strategy for execution of large stock orders using long short-term memory networks

Keyphrases

• Optimal Control Strategy 100%
• Transaction Costs 100%
• Long Short-term Memory 100%
• Long Short-term Memory Network 100%
• Order Book 75%
• Time-weighted Average 50%
• Trading Volume 50%
• Average Price 50%
• Memory Strategies 50%
• Volume Weighted Average Price 50%
• Power Law 25%
• Volume Data 25%
• Interdependence 25%
• Price-based 25%
• Liquidity 25%
• Bid Price 25%
• Long Short-term Memory Neural Network 25%
• Price Movement 25%
• Price-volume 25%
• Price Data 25%
• Large Order 25%
• Limit Order Book 25%
• Policy Approximation 25%
• General Power Law 25%
• Interstock 25%

Computer Science

• Control Strategy 100%
• Long Short-Term Memory Network 100%
• Weighted Average 100%
• Long Short-Term Memory Networks 100%
• Memory Strategy 50%
• Approximation (Algorithm) 25%
• Long Short-Term Memory Neural Network 25%
• Cross Section Data 25%

Economics, Econometrics and Finance

• Speculation 25%