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ThePredictiveDev / Optimal-Execution-Model-with-Stochastic-Control

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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
  • Updated Oct 9, 2024
  • Jupyter Notebook

chigwell / idea-extractor

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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
  • Updated Dec 21, 2025
  • Python

chirindaopensource / cooperative_transaction_cost_mitigation

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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
  • Updated Mar 22, 2026
  • Jupyter Notebook

alex-is-busy-coding / rl-order-execution

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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
  • Updated Jan 15, 2026
  • Python

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