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Volume Weighted Average Price Optimal Execution
Jupyter Notebook Python
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TestWidget.ipynb
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VolumeModelingAndValidation.ipynb
constants.py
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solution_SHDP.py
volumeProfileProcessing.py
volume_estimation.py
volume_prediction.py

README.md

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.

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