Conformal-VWAP-Execution/CITATION.cff at main · Asadullah-Irshad/Conformal-VWAP-Execution · GitHub

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cff-version: 1.2.0
message: "If you use this software, please cite the paper below."
title: "Uncertainty-Aware AI: Conformal Prediction versus Reinforcement Learning for Optimal Trade Execution"
abstract: >-
  Reference implementation and reproducibility package for a study of
  VWAP-benchmarked optimal trade execution. A normalised split-conformal
  predictor of next-interval returns is used as an explicit gate on execution
  decisions: the policy acts on the forecast only when its magnitude exceeds
  kappa times the conformal half-width, and otherwise tracks VWAP. Sweeping
  kappa traces a monotone cost-risk frontier, reducing the variance of
  execution cost at almost no cost in the mean, and more reproducibly than a
  multi-seed PPO agent.
type: software
version: "1.0.0"
license: MIT
doi: "10.5281/zenodo.22137734"
date-released: 2026-08-28
identifiers:
  - type: doi
    value: "10.5281/zenodo.22137734"
    description: "Archived release on Zenodo"
repository-code: "https://github.com/Asadullah-Irshad/Conformal-VWAP-Execution"
url: "https://github.com/Asadullah-Irshad/Conformal-VWAP-Execution"
keywords:
  - optimal trade execution
  - VWAP
  - conformal prediction
  - uncertainty quantification
  - reinforcement learning
  - market microstructure
  - reproducibility
authors:
  - family-names: Irshad
    given-names: Asadullah
    affiliation: "DAIM, University of Hull, UK"
    orcid: "https://orcid.org/0009-0005-5068-6404"
  - family-names: Biswas
    given-names: Shaon
    affiliation: "DAIM, University of Hull, UK"
preferred-citation:
  type: article
  title: "Uncertainty-Aware AI: Conformal Prediction versus Reinforcement Learning for Optimal Trade Execution"
  authors:
    - family-names: Irshad
      given-names: Asadullah
      affiliation: "DAIM, University of Hull, UK"
      orcid: "https://orcid.org/0009-0005-5068-6404"
    - family-names: Biswas
      given-names: Shaon
      affiliation: "DAIM, University of Hull, UK"
  journal: "Statistics, Optimization & Information Computing"
  publisher:
    name: "International Academic Press"
  volume: 16
  issue: 2
  start: 1334
  end: 1349
  year: 2026
  month: 8
  issn: "2310-5070"
  doi: "10.19139/soic-2310-5070-4159"
  url: "https://iapress.org/index.php/soic/article/view/4159"