English

Diverse Approaches to Optimal Execution Schedule Generation

Trading and Market Microstructure 2026-02-02 v2 Machine Learning

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 R2>0.02R^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.

Keywords

Cite

@article{arxiv.2601.22113,
  title  = {Diverse Approaches to Optimal Execution Schedule Generation},
  author = {Robert de Witt and Mikko S. Pakkanen},
  journal= {arXiv preprint arXiv:2601.22113},
  year   = {2026}
}

Comments

27 pages, 15 figures, 5 tables, v2: some minor improvements

R2 v1 2026-07-01T09:26:23.796Z