Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics
DRIP Asset Allocation is a collection of model libraries for MPT framework, Black Litterman Strategy Incorporator, Holdings Constraint, and Transaction Costs.
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
Market Microstructure & Liquidity Simulator for B3 using Mean Field Games (MFG). High-performance numerical solver for coupled HJB-Fokker-Planck systems to model price formation and HFT dynamics.
Portfolio execution strategy based on the Almgren-Chriss model, focusing on trade cost optimization in Python
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.
Computational framework for Mean-Field Game-based optimal execution with latent market dynamics, endogenous price impact, posterior filtering, and heterogeneous agent equilibrium interactions.
中文高频交易与市场微观结构交互式课程：用可视化实验学习订单簿、订单流、价格发现、做市、执行、风险与实时数据系统。
Reinforcement Learning for Optimal Trade Execution
Optimal trade execution using Deep Q-Networks (DQN) and PyTorch. Simulates an Almgren-Chriss market environment to outperform TWAP benchmarks.
Almgren-Chriss optimal execution: closed-form trajectories, the efficient frontier, a Monte Carlo verifier, and a study of how wrong your impact model can be before TWAP wins.
A quantitative framework for optimal trade execution comparing classic Almgren-Chriss dynamics against Heston stochastic volatility models using Monte Carlo simulation and rigorous statistical validation.
Execution research lab: realistic L2 replay simulator, classical optimal-execution benchmarks (TWAP/VWAP/POV/Almgren-Chriss), and a from-scratch PPO agent — with honest, ablation-tested findings.
C++20 limit order book and Almgren-Chriss optimal execution research laboratory.
Almgren-Chriss optimal trade execution model with market impact simulation
Differentiable optimal execution framework with empirical market calibration, stochastic liquidity regimes, transient market impact, CVaR optimization, and benchmark comparisons against classical execution schedules.
Literature survey of order execution strategies implemented in python
A rigorous Avellaneda–Stoikov optimal market-making solver (PDE value function + adverse selection).
Reinforcement learning environment for optimal trade execution — Gymnasium + Stable-Baselines3 + Almgren-Chriss market impact model
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