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optimal-execution

Here are 7 public repositories matching this topic...

cmarvinzurich / RL-LOB

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.

finance reinforcement-learning trading simulation pytorch trading-algorithms algorithmic-trading limit-order-book optimal-execution actor-critic market-microstructure marketmaking

Updated Sep 30, 2025
Python

AndreasTheodoulou / reinforcement_learning_oe

Reinforcement Learning for Optimal Trade Execution

reinforcement-learning optimal-execution

Updated Jan 18, 2020
Python

sivecow / Order-Execution-Strategy

Literature survey of order execution strategies implemented in python

interview optimal-execution quantitative-research

Updated Jul 24, 2020
Python

sivecow / Optimal-Portfolio-Transactions

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.

optimal-execution quantitative-research

Updated Jun 25, 2024
Python

sivecow / OptimalExecution_stochastic_control

This is for the capstone project "Optimal Execution of a VWAP order".

hft optimal-execution stochastic-control quantitative-research

Updated Nov 21, 2019
Python

joshfinney / slipstream

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

python reinforcement-learning algorithmic-trading gymnasium optimal-execution market-microstructure stable-baselines3

Updated Dec 28, 2025
Python

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

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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