Differentiable Planning for Optimal Liquidation

  • Alan A. Pennacchio USP
  • Leliane N. de Barros USP
  • Denis D. Mauá USP


Optimal liquidation consists of selling large blocks of single stocks within given time frames optimally with respect to specified risk-sensitive objectives. In this paper, we extend the Almgren-Chriss model for the liquidation process to a more generic and realistic setting and present a differentiable planning algorithm to solve it. We evaluate the performance of the proposed method through experiments, demonstrating the potential of differentiable planning for optimal liquidation in realistic scenarios.
Palavras-chave: Differentiable Planning, Risk-sensitive Objective, Markov Decision Process, Optimal Liquidation


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PENNACCHIO, Alan A.; BARROS, Leliane N. de; MAUÁ, Denis D.. Differentiable Planning for Optimal Liquidation. In: BRAZILIAN WORKSHOP ON ARTIFICIAL INTELLIGENCE IN FINANCE (BWAIF), 1. , 2022, Niterói. Anais [...]. Porto Alegre: Sociedade Brasileira de Computação, 2022 . p. 48-57. DOI: https://doi.org/10.5753/bwaif.2022.223144.