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Reinforcement Learning for Live Market Execution: Building RL agents with action penalties, slippage modelling, market impact.
Paperback
Series: Algorithmic Alpha: Next-Gen Trading Systems for the Modern Market, Book 2
Publisher: Independently Published
Published: Nov 13 2025
Pages: 466
Weight: 1.36
Height: 0.94 Width: 6.00 Depth: 9.00
Language: English
Execution is where theories die and real trading begins.
In today's markets, microseconds matter, order books shift without warning, and liquidity evaporates the moment a trader hesitates. Reinforcement learning, built on adaptive decision-making and continuous reward optimization, has become the most powerful framework for navigating this environment.
Reinforcement Learning for Live Market Execution reveals how modern quant desks design agents that learn, react, and evolve inside real-time market conditions. This is not a theoretical tour. It is a practical, institutional-grade manual for building RL-driven execution systems capable of surviving and thriving in live markets.
Inside, you'll learn how to:
Construct RL agents that optimize entries, exits, sizing, and timing in dynamic environments
Model slippage, spread, queue position, and market impact as penalties and rewards
Train policies using volatility shocks, liquidity droughts, and regime shifts
Integrate RL with microstructure signals: order flow imbalance, volatility bursts, and quote dynamics
Build execution engines for futures, options, and crypto using constrained decision workflows
Run walk-forward simulations that mirror real-world stress conditions
Deploy agents to live trading while maintaining risk controls and fail-safe overrides
Each chapter focuses on durability, how to engineer models that not only backtest well, but perform reliably when the market becomes chaotic, thin, or structurally hostile.
For quantitative traders, algorithm designers, and researchers seeking an advanced but accessible pathway into reinforcement learning, this book offers a complete blueprint for turning RL into a true execution edge.
This is the future of live market execution, built one decision at a time.Also from
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