We propose an actor-critic reinforcement learning (RL) algorithm for the optimal execution problem. We consider the celebrated Almgren-Chriss model in continuous time and formulate a relaxed stochastic control problem for execution under an entropy regularized mean-quadratic variation objective....

The contribution of this paper is twofold. First, we exploit copula methodology, with two threshold GARCH models as marginals, to construct a bivariate copula threshold GARCH model, simultaneously capturing asymmetric nonlinear behaviour in univariate stock returns of spot and futures markets...