almgren-chriss

Implementation of the DDPG algorithm for Optimal Finance Trading

Execution and market-making research platform: Almgren-Chriss, Avellaneda-Stoikov, impact, TCA, calibration, hedging and risk controls in Python, C++26, Rust and Java 25 from one spec

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

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

Market impact and optimal execution on Nasdaq order-level data: out-of-sample cost models for single orders, the square-root law across 108 S&P 500 stocks, displayed-book cost curves, and KKT and Almgren-Chriss execution schedules.

Algorithmic Solvers and Optimization Engine for Quantitative High-Frequency Trading & Market Microstructure Bottlenecks

Smart order routing & risk-aware trade execution

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.

Almgren-Chriss optimal liquidation calibrated from live Deribit data, with a policy-gradient agent tested against the closed form and TWAP

Limit order book simulator with Hawkes-driven order flow, and Almgren-Chriss optimal execution calibrated across a liquidity cross-section of eight US names

Institutional AI Execution Management System (EMS), 4-Venue Smart Order Router & L2 Microstructure Terminal | Nebius Token Factory + NVIDIA Nemotron-3 + ConTree VMs | 2-Min Demo: https://youtu.be/I9uMToKesDI

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.

Price the client's risk, work it out of the book, finish flat. Fines −82%, P&L/vol ×4.

FX optimal execution & TCA: Almgren-Chriss vs TWAP/VWAP/POV on real EURUSD 1-min data, liquidity aggregator with last look and smart order routing

From-scratch PPO agent for optimal trade execution vs TWAP and Almgren-Chriss on a simulated market (simulation only).

An optimal execution and transaction cost analysis engine: implementation shortfall decomposition, market impact calibration, and Almgren-Chriss trajectories.

Institutional-grade Almgren-Chriss (2000) optimal trade execution simulator calibrated to Nifty 50 Futures block orders

This project implements an advanced trading execution system based on the research paper "A reinforcement learning extension to the Almgren-Chriss framework for optimal trade execution" by Hendricks and Wilcox. The system combines traditional algorithmic trading methods with machine learning to optimize trading performance.