Skip to content

cvxgrp/vwap_opt_exec

BranchesTags

Folders and files

NameName
Last commit message
Last commit date

Latest commit

 

History

7 Commits
.gitignore
.gitignore
 
 
AnalyzeResults.ipynb
AnalyzeResults.ipynb
 
 
FitAlphatAndVolatilities.ipynb
FitAlphatAndVolatilities.ipynb
 
 
LICENSE
LICENSE
 
 
OtherPlots.ipynb
OtherPlots.ipynb
 
 
README.md
README.md
 
 
TestWidget.ipynb
TestWidget.ipynb
 
 
Untitled.ipynb
Untitled.ipynb
 
 
VolumeModelingAndValidation.ipynb
VolumeModelingAndValidation.ipynb
 
 
constants.py
constants.py
 
 
empirical_results.py
empirical_results.py
 
 
functions.py
functions.py
 
 
solution_SHDP.py
solution_SHDP.py
 
 
volumeProfileProcessing.py
volumeProfileProcessing.py
 
 
volume_estimation.py
volume_estimation.py
 
 
volume_prediction.py
volume_prediction.py
 
 

Repository files navigation

vwap_opt_exec

Volume Weighted Average Price Optimal Execution

Code and examples for the paper on Volume weighted average price optimal execution by E. Busseti and S. Boyd (2015).

Note. The code has not been run or tested since the draft version of the paper has been out (i.e., summer 2015), so some libraries might have changed APIs. I don't guarantee that the code now runs as-is.

About

Volume Weighted Average Price Optimal Execution

Resources

Readme

License

GPL-3.0 license
Activity
Custom properties

Stars

38 stars

Watchers

24 watching

Forks

25 forks
Report repository

Releases

No releases published

Packages

No packages published

Languages