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.

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.

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

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.

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

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

Almgren-Chriss optimal trade execution model with market impact simulation

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

Literature survey of order execution strategies implemented in python

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

Optimal trade execution using Deep Q-Networks (DQN) and PyTorch. Simulates an Almgren-Chriss market environment to outperform TWAP benchmarks.

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

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

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

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

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.

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