Almgren-Chriss Optimal Execution - Quant Researcher Interview Question
Difficulty: Hard
Category: market_microstructure
Asked at: BofA, HRT, Citadel, Two Sigma, JPMorgan, Goldman Sachs
Topics: optimal execution, scipy, optimization, quantitative finance
Problem Description
The Almgren-Chriss model is a seminal framework in algorithmic trading that determines optimal execution schedules by balancing temporary market impact costs against the volatility risk of holding inventory. By minimizing an objective function that accounts for both execution speed and price uncertainty, quantitative traders can derive liquidation trajectories that optimize the trade-off between slippage and timing risk.
Task
Implement the solution function to calculate the optimal trade schedu
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