Diverse Approaches to Optimal Execution Schedule Generation

• URL: http://arxiv.org/abs/2601.22113v2
• Date: Fri, 30 Jan 2026 10:51:39 GMT
• Title: Diverse Approaches to Optimal Execution Schedule Generation
• Authors: Robert de Witt, Mikko S. Pakkanen,
• Abstract summary: We present the first application of MAP-Elites, a quality-diversity algorithm, to trade execution.<n>Rather than searching for a single optimal policy, MAP-Elites generates a diverse portfolio of regime-specialist strategies indexed by liquidity and volatility conditions.<n>Individual specialists achieve 8-10% performance improvements within their behavioural niches, while other cells show degradation.
• Score: 0.0
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• 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.

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