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
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.
Portfolio execution strategy based on the Almgren-Chriss model, focusing on trade cost optimization in Python
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.
中文高频交易与市场微观结构交互式课程：用可视化实验学习订单簿、订单流、价格发现、做市、执行、风险与实时数据系统。
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
MBA dissertation: can reinforcement learning reduce implementation shortfall? Mostly not - a trivial signal-proportional rule captures 32.9 of the 33.8 points. Linear policies trained by cross-entropy search against TWAP, VWAP and Almgren-Chriss in a calibrated simulator, with Newey-West HAC t-statistics.
C++20 limit order book and Almgren-Chriss optimal execution research laboratory.
Order-book execution simulator and TCA: replay / queue-reactive / zero-intelligence modes, FIX 4.4 gateway, self-recorded L2/L3 feeds, kdb+ and DuckDB storage
Reinforcement learning environment for optimal trade execution — Gymnasium + Stable-Baselines3 + Almgren-Chriss market impact model
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.
Research code for a heterogeneous mean-field game optimal liquidation model developed for a 2026 HEC Montréal Financial engineering master's thesis.
Double DQN order scheduling on historical cryptocurrency market data
C++20 continuum LOB research platform: discrete book, coarse-graining, finite-volume PDE, FNO/DeepONet surrogates, physics-informed residuals, and optimal-execution / SAC interfaces.
A quantitative framework for optimal trade execution comparing classic Almgren-Chriss dynamics against Heston stochastic volatility models using Monte Carlo simulation and rigorous statistical validation.
Deep Reinforcement Learning for Optimal Trade Execution using DQN and Baseline Strategy Comparison
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