/ElectronicMarkets

Algorithmic Trading Electronic Market Project on implementing Almgren-Chriss' optimal execution model.

Primary LanguageJupyter Notebook

Electronic Markets Project

A Tale of Two Models: Implementing Almgren-Chriss through quadratic and dynamic programming

  1. Introduction
  2. Almgren-Chriss Framework
  3. Solving the Almgren-Chriss framework with nonlinear programming
  4. Solving the Almgren-Chriss framework with dynamic programming
  5. Volatility estimation, microstructure biases and Almgren-Chriss
  6. Conclusion