Optimal execution and market making, implemented four times over from the same pinned contract: **Almgren-Chriss (2000)** discrete optimal execution, **Avellaneda-Stoikov (2008)** finite-horizon market making, and execution analytics (Perold implementation-shortfall decomposition, participation rate, a tiny native OLS for market-impact estimatio…
☆29Sep 6, 2026Updated last month
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