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.

Reinforcement Learning for Optimal Trade Execution

Literature survey of order execution strategies implemented in python

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

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

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".

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

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