Practice Trading
Schedule a large order with Almgren–Chriss
Hard+50 pointsAbout 70 minutesTrading
Coming soon
Trade a large order over a day, trading off impact against risk, and compare the schedule with TWAP.
This problem opens with Market Microstructure and Algorithmic Trading. It draws on the modules below.
- Microstructure 2.2 Optimal execution (coming soon)