Below you will find Jupyter notebooks in Python implementations of various algorithms found in our book
published by Cambridge University Press | 
Oxford University | 
University of Toronto | 
Universidad Carlos III |
Click on a title to expand that window.
You may also click on the github link at the bottom of that window to download the code.
Data Exploration
Optimal Execution Basics (Chap 6.5)
Optimal Acquisition with a Price Limiter (Chap 7.2)
Short-term alpha and Order-flow optimal trading (Chap 7.3)
Liquidation using Limit and Market Orders (Chap 8.5)
Targeting Percentage of Volume (Chap 9.2)
Market Making with Short-Term Alpha (Chap 10.4.2)
Functional Principal Component Analysis of Trade Volume