Overview
Independent research into optimal execution and market-making theory, grounded in the original Avellaneda-Stoikov (2008) framework — the theoretical companion to Trading Simulator, and the research that feeds back into refining it.
What it covers
- Independent study of optimal execution theory based on Avellaneda-Stoikov (2008), and inventory control problems more broadly
- Investigating various approaches in the literature, looking closely at the assumptions each one makes
- Applications of Almgren-Chriss execution strategies alongside the AS framework
- Working implementations in both C++ and Python of closed-form AS market making
Status
Active, ongoing alongside Trading Simulator — findings here feed directly into that engine's price and fill models.