🧠 Optimal execution of portfolio transactions: Almgren-Chriss

Quantitative Researcher | Mustafa MAJJI

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📚 Project Overview

This project examines the Almgren-Chriss model, a key framework in quantitative finance used for the optimal execution of large-scale trades. The model is designed to minimize overall trading costs while managing the risks associated with price fluctuations during execution.

By balancing market impact and execution risk, it provides an efficient strategy for buying or selling a portfolio over a specified time horizon.

🚀 Repository Structure

• Almgren-Chriss.pdf: A PDF document providing a detailed explanation of the theory behind the model.

• Almgren-Chriss.ipynb: A Jupyter Notebook that explains the model and demonstrates the optimization process.

📪 Contact

For any information, feedback or questions, please contact me