Execution Algorithms

VWAP and TWAP schedules, the trade off between impact and risk, and optimal execution in the model of Almgren and Chriss.

Already bought a plan? Sign in to open this module.

How this module runs

01 · IntroductionWhat it is and why it matters
02 · Key PointsThe most important points
03 · The Math + PythonFormula, step by step, code
04 · Real WorldWhere it is used, best practice, common mistakes
05 · QuestionsExercises and interview
Mini projectOne small program

Mini projectAn execution planner that compares the VWAP and the optimal schedule for four ordersOne small program on the topic, to run and to extend step by step.

See pricing

Back to the course outline See the free e-book