Differentiable Planning for Optimal Liquidation
ResumoOptimal 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.
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