This repository contains a code implementation of the final project Optimal trading: a model predictive control approach for Advanced Control Methods 2023 course.
Project team:
- Matvey Lukyanov
- Aleksandr Odnakov
- Oleg Shepelin
Model predictive control is a powerful technique to control a process while satisfying a set of constraints. Our goal is the minimization under risk constraints of the expected slippage between the averaged execution price and the arrival price (i.e the quoted price when the order starts)