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.

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

Reinforcement Learning for Optimal Trade 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.

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

Literature survey of order execution strategies implemented in python

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".