Recurrent Neural Networks for Dynamic VWAP Execution: Adaptive Trading Strategies with Temporal Kolmogorov-Arnold Networks

TL;DR

This paper introduces a dynamic recurrent neural network framework for VWAP order execution that adapts in real time to market changes, significantly improving performance over static models and traditional methods.

Contribution

It develops a novel adaptive neural VWAP model using recurrent networks and dynamic adjustments, advancing beyond previous static approaches for real-time market adaptation.

Findings

Achieves 10-15% performance improvements in cryptocurrency markets.

Demonstrates robustness across different market conditions.

Maintains computational efficiency for practical deployment.

Abstract

The execution of Volume Weighted Average Price (VWAP) orders remains a critical challenge in modern financial markets, particularly as trading volumes and market complexity continue to increase. In my previous work arXiv:2502.13722, I introduced a novel deep learning approach that demonstrated significant improvements over traditional VWAP execution methods by directly optimizing the execution problem rather than relying on volume curve predictions. However, that model was static because it employed the fully linear approach described in arXiv:2410.21448, which is not designed for dynamic adjustment. This paper extends that foundation by developing a dynamic neural VWAP framework that adapts to evolving market conditions in real time. We introduce two key innovations: first, the integration of recurrent neural networks to capture complex temporal dependencies in market dynamics, and second, a sophisticated dynamic adjustment mechanism that continuously optimizes execution decisions based on market feedback. The empirical analysis, conducted across five major cryptocurrency markets, demonstrates that this dynamic approach achieves substantial improvements over both traditional methods and our previous static implementation, with execution performance gains of 10 to 15% in liquid markets and consistent outperformance across varying conditions. These results suggest that adaptive neural architectures can effectively address the challenges of modern VWAP execution while maintaining computational efficiency suitable for practical deployment.