Optimal Execution of Foreign Securities: A Double-Execution Problem with Machine Learning

Code of the following paper:

Cartea, A., Perez Arribas, I., Sanchez-Betancourt, L., 2020. Optimal Execution of Foreign Securities: A Double-Execution Problem with Machine Learning. Working paper.

Requirements

The project was built in Python 3. The requirements for this project can be found in requirements.txt. To install all requirements, execute the following:

pip3 install -r requirements.txt