Diverse Approaches to Optimal Execution Schedule Generation

Robert de Witt and Mikko S. Pakkanen

Papers from arXiv.org

Abstract: We present the first application of MAP-Elites, a quality-diversity algorithm, to trade execution. Rather than searching for a single optimal policy, MAP-Elites generates a diverse portfolio of regime-specialist strategies indexed by liquidity and volatility conditions. Individual specialists achieve 8-10% performance improvements within their behavioural niches, while other cells show degradation, suggesting opportunities for ensemble approaches that combine improved specialists with the baseline PPO policy. Results indicate that quality-diversity methods offer promise for regime-adaptive execution, though substantial computational resources per behavioural cell may be required for robust specialist development across all market conditions. To ensure experimental integrity, we develop a calibrated Gymnasium environment focused on order scheduling rather than tactical placement decisions. The simulator features a transient impact model with exponential decay and square-root volume scaling, fit to 400+ U.S. equities with $R^2>0.02$ out-of-sample. Within this environment, two Proximal Policy Optimization architectures - both MLP and CNN feature extractors - demonstrate substantial improvements over industry baselines, with the CNN variant achieving 2.13 bps arrival slippage versus 5.23 bps for VWAP on 4,900 out-of-sample orders ($21B notional). These results validate both the simulation realism and provide strong single-policy baselines for quality-diversity methods.

Date: 2026-01, Revised 2026-01
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