optimal-execution

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.

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 trade execution model with market impact simulation

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.

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.

MBA dissertation: can reinforcement learning reduce implementation shortfall? PPO and DQN against TWAP, VWAP and Almgren-Chriss in a literature-calibrated multi-venue simulator, with Newey-West HAC t-statistics. No proprietary or real tick data.

Reinforcement learning environment for optimal trade execution — Gymnasium + Stable-Baselines3 + Almgren-Chriss market impact model

Optimal execution simulator comparing Almgren-Chriss and GLFT (Guéant et al. 2012) on BTC/USDT L2 order book data

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.

GPU-batched reinforcement learning for limit-order-book optimal execution with IPPO, trained against Bybit BTCUSDT L2 order-book data.

Literature survey of order execution strategies implemented in python

A rigorous Avellaneda–Stoikov optimal market-making solver (PDE value function + adverse selection).

Causal regime-aware optimal execution research with reproducible simulations, walk-forward prediction scoring, and a paper-only Alpaca market-data bridge with fail-closed risk controls.

Risque de liquidite en gestion d'actifs : temps et cout de liquidation, execution optimale Almgren-Chriss, stress de rachats et swing pricing

Almgren-Chriss 2000 optimal block execution with efficient frontier and Monte Carlo - companion to as-market-maker

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.

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

Differentiable optimal execution framework with empirical market calibration, stochastic liquidity regimes, transient market impact, CVaR optimization, and benchmark comparisons against classical execution schedules.