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Diverse Approaches to Optimal Execution Schedule Generation

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  • Robert de Witt
  • Mikko S. Pakkanen

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.

Suggested Citation

  • Robert de Witt & Mikko S. Pakkanen, 2026. "Diverse Approaches to Optimal Execution Schedule Generation," Papers 2601.22113, arXiv.org, revised Jan 2026.
  • Handle: RePEc:arx:papers:2601.22113
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    References listed on IDEAS

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    3. Rama Cont & Arseniy Kukanov & Sasha Stoikov, 2014. "The Price Impact of Order Book Events," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 47-88.
    4. Konstantinos Chatzilygeroudis & Antoine Cully & Vassilis Vassiliades & Jean-Baptiste Mouret, 2021. "Quality-Diversity Optimization: A Novel Branch of Stochastic Optimization," Springer Optimization and Its Applications, in: Panos M. Pardalos & Varvara Rasskazova & Michael N. Vrahatis (ed.), Black Box Optimization, Machine Learning, and No-Free Lunch Theorems, pages 109-135, Springer.
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