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FlowOE: Imitation Learning with Flow Policy from Ensemble RL Experts for Optimal Execution under Heston Volatility and Concave Market Impacts
Yang Li / Zhi Chen
machine learning / optimal executionResource overview

FlowOE: Imitation Learning with Flow Policy from Ensemble RL Experts for Optimal Execution under Heston Volatility and Concave Market Impacts

Paper2025

by Yang Li, Zhi Chen

Tags
machine learningoptimal execution

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Suggested foundations for volatility models and surfaces and market microstructure and execution. Specialist prerequisites vary by paper.

Before you read

  1. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow diffusion-based models and their assumptions.

  2. ARCH and GARCH

    Separate conditional volatility from observed returns.

  3. Order Books

    Read bid, ask, depth and queue-based market state.

  4. Order Flow and Adverse Selection

    Understand why fills and order flow can carry information.

Go further

  1. Stochastic Volatility and the Heston Model

    Study a correlated stochastic-variance model.

  2. Reading the Implied Vol Surface — Moneyness, Term Structure, and Quoting Conventions

    Interpret prices across strikes and expiries.

  3. Market Impact

    Connect trading speed and size to execution cost.

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Explore Advanced Derivatives and Exotic Options Explore Market Microstructure and Execution

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