v0.8.0 - Advanced Algorithms

CodeRockerr released this 19 Jun 17:15

· 114 commits to main since this release

1fbf3c3

Fama-French 3-factor model (alpha, beta, SMB, HML with t-statistics)
TWAP execution scheduling
VWAP execution scheduling (U-shaped intraday volume profile)
Implementation Shortfall scheduling (urgency-parameterised)
Post-trade execution quality analysis
~120 unit tests passing, CI green

Assets 2