We consider a trader who aims to liquidate a large position in the presence of an arbitrageur who hopes to profit from the trader's activity. The arbitrageur is uncertain about the trader's position and learns from observed price fluctuations. This is a dynamic game with asymmetric information....

We consider the problem of execution timing in optimal execution. Specifically, we formulate the optimal execution problem of an infinitesimal order as an optimal stopping problem. By using a novel neural network architecture, we develop two versions of data-driven approaches for this problem,...