SoloQuant Flagship Program Early Bird · $420 USD (Save $379) · Sep 1–Dec 1, 2026 · Launch Jan 1, 2027 →

SoloQuant Academy

Short evening lessons for people who work. Quant trading, Python, data, systems, architecture.

Information Hub Student Portal Privacy Policy Terms & Conditions

Academy notes

Information Hub

Articles and updates from SoloQuant Academy.

Tag: optimal-execution

pythonpapervwapoptimal-executionafter-work

Introducing VWAP Execution and Guaranteed VWAP for after-work quants

Guéant & Royer (2013) study VWAP-style execution and indifference pricing of guaranteed VWAP under permanent impact. Plain-language intro. Not investment advice.

pythonpaperreinforcement-learningoptimal-executionafter-work

Introducing Reinforcement Learning for Trade Execution with Market and Limit Orders for after-work quants

Cheridito & Weiss (2025) use actor-critic RL to mix market and multi-level limit orders in impactful LOB simulations. Plain-language intro. Not investment advice.

pythonpaperoptimal-executionalmgren-chrissafter-work

Introducing Optimal Execution of Portfolio Transactions for after-work quants

Almgren & Chriss (1999) introduce mean-variance optimal execution with permanent vs temporary impact and an efficient frontier of liquidation paths. Plain-language intro. Not investment advice.

pythonpaperoptimal-executionblock-tradesafter-work

Introducing Optimal Execution and Block Trade Pricing: A General Framework for after-work quants

Olivier Guéant (2012) gives a general framework for optimal liquidation and block-trade illiquidity pricing via Hamiltonian methods. Plain-language intro. Not investment advice.

pythonpaperoptimal-executionlimit-order-bookafter-work

Introducing Optimal Execution Strategies in Limit Order Books with General Shape Functions for after-work quants

Alfonsi, Fruth & Schied (2007) extend LOB execution to general book shapes with resilient discrete-time block trades. Plain-language intro. Not investment advice.