optimal-execution

There are 0 repository under optimal-execution topic.

• lakshmiDRIP / DRIP

  Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics

  fixed-incomeasset-allocationportfolio-constructiontransaction-cost-analyticsexecution-cost-analyticsbondcurve-constructionriskpnloptimal-executionxva-metricscvadva
  Language:Java 57

• shehio / Computational-Finance

  yield-curvebootstrapping-statisticsoptimal-executionoptimal-controlstochastic-optimaalmgren-chrissmarkowitz-portfoliomodern-portfolio-theoryfinancial-engineeringcomputational-financefinancial-economicsmonte-carlomonte-carlo-simulationmonte-carlo-samplingmonte-carlo-integration
  Language:MATLAB 12

• lakshmiDRIP / DROP-Asset-Allocation

  DRIP Asset Allocation is a collection of model libraries for MPT framework, Black Litterman Strategy Incorporator, Holdings Constraint, and Transaction Costs.

  dripdrip-asset-allocationjavaasset-allocationportfolio-constructionblack-littermanconstrained-portfolio-optimizationfactor-modelsidzorekalmgren-chrissoptimal-executionoptimal-transactiontransaction-costoptimal-dynamic-portfoliomulti-period-portfolio-optimizationstochastic-liquidity-volatilitymarket-impact-modelsprincipal-program-tradesmean-variance-optimization
  Language:CSS 10

• ThePredictiveDev / Optimal-Execution-Model-with-Stochastic-Control

  Optimal trade execution using the Almgren–Chriss stochastic control framework with illustrative notebooks.Optimal trade execution using the Almgren–Chriss stochastic control framework with illustrative notebooks.Using Stochastic Control especially the Almgren-Chriss framework

  optimal-executionalmgren-chrissfinancemarket-microstructurepythonquantitativequantitative-financestochastic-controltradingmarket-impact
  Language:Jupyter Notebook 3

• AndreasTheodoulou / reinforcement_learning_oe

  Reinforcement Learning for Optimal Trade Execution

  optimal-executionreinforcement-learning
  Language:Python 1

• cmarvinzurich / RL-LOB

  Logistic‑Normal Actor‑Critic für optimale Trade‑Ausführung in einem realistischen Limit‑Order‑Book‑Simulator (Noise/Tactical/Strategic); PyTorch‑Training inkl. TWAP/SL‑Baselines & Evaluation.

  actor-criticalgorithmic-tradingfinancelimit-order-bookmarket-microstructuremarketmakingoptimal-executionpytorchreinforcement-learningsimulationtradingtrading-algorithms
  Language:Python 1

• muMAJJI / Optimal-Execution-of-Portfolio-Transactions

  Portfolio execution strategy based on the Almgren-Chriss model, focusing on trade cost optimization in Python

  quantitative-financetrade-executionalmgren-chrissoptimal-executionpythontrading-strategytransaction-cost-analysisportfolio-execution
  Language:Jupyter Notebook 1

• Alqama-svg / optimal_execution_with_RL_Agent

  Deep Reinforcement Learning for Optimal Trade Execution using DQN and Baseline Strategy Comparison

  algorithmic-tradingdeep-learningdqngym-environmenthigh-frequency-tradingneural-networksoptimal-executionpythonquantitative-financereinforcement-learningresearch-and-developmentstochastic-calculusbaseline-strategies
  Language:Jupyter Notebook

• sivecow / Optimal-Portfolio-Transactions

  We consider the execution of portfolio transactions with the aim of minimizing a combination of risk and transaction costs arising from permanent and temporary market impact.

  optimal-executionquantitative-research
  Language:Python

• sivecow / OptimalExecution_stochastic_control

  This is for the capstone project "Optimal Execution of a VWAP order".

  hftoptimal-executionquantitative-researchstochastic-control
  Language:Python

• sivecow / Order-Execution-Strategy

  Literature survey of order execution strategies implemented in python

  interviewoptimal-executionquantitative-research
  Language:Python