Builds a market simulator to back test trading algorithms
Implements closed-form strategies that optimize trading signals
Measures liquidity risk and stress test portfolios for fire sales
Analyze algorithms' performance controlling for common trading biases
Estimates price impact models using the public trading tape
Implements closed-form strategies that optimize trading signals
Measures liquidity risk and stress test portfolios for fire sales
Analyze algorithms' performance controlling for common trading biases
Estimates price impact models using the public trading tape
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