Quantitative AUM capacity estimator featuring a Q-learning Oracle.
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May 17, 2026 - C++
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market-impact
Here are 8 public repositories matching this topic...
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
python finance trading quantitative-finance quantitative optimal-execution almgren-chriss market-microstructure stochastic-control market-impact
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Oct 9, 2024 - Jupyter Notebook
idea-extractor extracts, categorizes, and scores high‑impact software ideas from forum discussions, outputting themes, feasibility and market impact.
hacker-news entrepreneurs text-processing developers trend-analysis structured-output impact-assessment software-ideas forum-analysis project-evaluation community-discussions key-themes market-impact idea-extraction feasibility-assessment priority-assessment high-impact-ideas
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Dec 21, 2025 - Python
End-to-End Python implementation of Devanathan et al.'s (2026) ADMM-based distributed optimization for institutional market impact mitigation. Features 3/2-power transaction cost modeling, proximal operator calculus, VAR(1) alpha generation, and 25-year walk-forward validation, via backtesting, across 434 assets.
python reproducible-research numpy scientific-computing portfolio-optimization quantitative-finance admm algorithmic-trading cvxpy convex-optimization factor-models distributed-optimization risk-management backtesting operator-splitting privacy-preserving hedge-funds transaction-costs research-replication market-impact
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Mar 22, 2026 - Jupyter Notebook
Substrate: Financial Execution Research Platform
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Apr 13, 2026 - Jupyter Notebook
Optimal trade execution using Deep Q-Networks (DQN) and PyTorch. Simulates an Almgren-Chriss market environment to outperform TWAP benchmarks.
python machine-learning reinforcement-learning deep-learning pytorch fintech dqn trading-algorithms quantitative-finance algorithmic-trading deep-q-network gymnasium optimal-execution almgren-chriss financial-engineering market-microstructure twap order-execution market-impact
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Jan 15, 2026 - Python
Nonlinear market impact model from live order book data — convex cost modeling and Lagrange-optimized trade scheduling
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Jul 24, 2025 - Jupyter Notebook
Institutional-style quantitative equity research and backtesting platform with walk-forward validation, factor analysis, execution realism, market impact modeling, and portfolio capacity analytics.
python pandas scipy portfolio-optimization quantitative-finance algorithmic-trading factor-analysis statsmodels risk-management backtesting market-impact walk-foward-validation
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Jun 3, 2026 - Python
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