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. As an example, assume that you have a certain number of stocks that you want to sell within a given time frame. If you place this sell order directly to the market as it is…
☆42Jun 25, 2024Updated 2 years ago
Alternatives and similar repositories for Optimal-Portfolio-Transactions
Users that are interested in Optimal-Portfolio-Transactions are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- An optimal trading trajectory solver.☆45Feb 2, 2022Updated 4 years ago
- Machine Learning for Quantitative Finance☆26Jun 8, 2018Updated 8 years ago
- Knowledge Sharing☆11Jul 13, 2021Updated 5 years ago
- Examples of nautilus script☆40Oct 6, 2025Updated 10 months ago
- convertible bond pricing☆13Sep 17, 2014Updated 11 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆12Apr 18, 2020Updated 6 years ago
- Курс по анализу данных онлайн-магистратуры МФТИ осень 2021☆10Dec 7, 2022Updated 3 years ago
- ☆23Jul 22, 2024Updated 2 years ago
- Trading Strategy Development☆13Nov 19, 2019Updated 6 years ago
- ☆18Sep 27, 2025Updated 10 months ago
- A collection of assignment submissions from the 2021/22 MSc Computational Finance Course.☆13Jan 3, 2023Updated 3 years ago
- Baruch MFE MTH9894☆13Jun 4, 2017Updated 9 years ago
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆24Jun 12, 2025Updated last year
- Bitmex market microstructure analytics☆23Feb 24, 2021Updated 5 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Live Training Session: Machine Learning with XGboost☆18Jun 23, 2020Updated 6 years ago
- Flan T5 LLM fine-tuning, by attaching a regression model last hidden layers activations. Runs on colab with A100 40gb☆13Mar 24, 2023Updated 3 years ago
- Predictive yield curve modeling in reduced dimensionality☆45Feb 21, 2023Updated 3 years ago
- Submission for Optiver's 2023 ReadyTraderGo.☆26Mar 26, 2023Updated 3 years ago
- Repo for Crypto Option Calibration project in CMF☆14Dec 10, 2022Updated 3 years ago
- Optimal high-frequency market making strategy☆30Nov 24, 2024Updated last year
- Replication code for simulating and estimation by GMM of DSGE models with higher-order statistics☆11Apr 8, 2022Updated 4 years ago
- alpha-RNN☆30Apr 9, 2020Updated 6 years ago
- A Claude Code skill for discovering your unknowns, before, during, and after implementation. The map is not the territory.☆21Jul 4, 2026Updated last month
- GPUs on demand by Runpod - Special Offer Available • AdRun AI, ML, and HPC workloads on powerful cloud GPUs—without limits or wasted spend. Deploy GPUs in under a minute and pay by the second.
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆26Jan 16, 2018Updated 8 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆102May 19, 2023Updated 3 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Mar 18, 2026Updated 4 months ago
- Standardised Bloomberg Fixed Income Processing☆21Apr 1, 2020Updated 6 years ago
- Valuing Real Options with Least Squares Monte Carlo in Python☆11Jan 14, 2018Updated 8 years ago
- Code to support my Master's thesis☆22Sep 10, 2023Updated 2 years ago
- MFM workshop project☆16Jan 25, 2021Updated 5 years ago
- ☆18Feb 13, 2022Updated 4 years ago
- ☆12Oct 3, 2023Updated 2 years ago
- Serverless GPU API endpoints on Runpod - Get Bonus Credits • AdSkip the infrastructure headaches. Auto-scaling, pay-as-you-go, no-ops approach lets you focus on innovating your application.
- ☆15Apr 29, 2018Updated 8 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆99Jan 1, 2021Updated 5 years ago
- Financial research data services for academics.☆107Sep 4, 2025Updated 11 months ago
- Have fun with financial valuation for free. :)☆25May 22, 2023Updated 3 years ago
- ☆18May 23, 2024Updated 2 years ago
- Marketmaker trading strategy☆29Oct 14, 2016Updated 9 years ago
- Literature survey of order execution strategies implemented in python☆46Jul 24, 2020Updated 6 years ago