- Introduction
- Almgren-Chriss Framework
- Solving the Almgren-Chriss framework with nonlinear programming
- Solving the Almgren-Chriss framework with dynamic programming
- Volatility estimation, microstructure biases and Almgren-Chriss
- Conclusion
SJD1882/ElectronicMarkets
Algorithmic Trading Electronic Market Project on implementing Almgren-Chriss' optimal execution model.
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