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Nathanj1013 / Optimal-Trade-Execution-Algorithm-Market-Impact-Model Public

2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)

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Name		Name	Last commit message	Last commit date
Latest commit History 2 Commits
Optimal Trade Execution - Dynamic Programming.ipynb		Optimal Trade Execution - Dynamic Programming.ipynb
Optimal Trade Execution - Frank-Wolfe Algorithm.cp		Optimal Trade Execution - Frank-Wolfe Algorithm.cp
Optimal Trade Execution - Frank-Wolfe Algoritm (Gurobi solver).ipynb		Optimal Trade Execution - Frank-Wolfe Algoritm (Gurobi solver).ipynb
Optimal Trade Execution - Market Impact Model.pdf		Optimal Trade Execution - Market Impact Model.pdf