transaction-costs

This project addresses the real-world portfolio optimization problem, going beyond classical mean-variance models. Actual portfolio construction involves discrete investment decisions, transaction costs, and monitoring constraints, making the problem a Mixed-Integer Optimization (MIO) challenge that is computationally intractable at scale

Yong Zhang, Jiahao Li, Xingyu Yang, and Hong Lin. "Aggregating exponential gradient expert advice for online portfolio selection under transaction costs" Journal of the Operational Research Society, , 2023, 74(8): 1940-1953.

Cost-aware empirical study of PCA factor-residual reversion across 50 OKX crypto perpetuals.

Is your holding time profitable BY CONSTRUCTION? The toll is fixed; the move grows as the square root of time. One MQL5 script that measures where they cross — no Gaussian, no scaling, every sliding window.

Cross-sectional statistical arbitrage on crypto perpetuals. Costs measured on a live account, not assumed. 22 pre-registered hypotheses, none clears the bar - and funding, not fees, is what binds. A complete negative result, with every withdrawn claim logged.

End-to-End Python implementation of Devanathan et al.'s (2026) ADMM-based distributed optimization for institutional market impact mitigation. Features 3/2-power transaction cost modeling, proximal operator calculus, VAR(1) alpha generation, and 25-year walk-forward validation, via backtesting, across 434 assets. 

PyTorch Dueling-DDPG for American put option hedging under transaction costs (0%/3%), benchmarked vs delta hedging. Project: Oct 2024–Oct 2025.

Backtest engine with realistic transaction-cost model (high-turnover wins gross, breaks even net).

Investability stress tests for factor portfolios across weighting, price, size, and liquidity constraints.

Excel and Python replication of a monthly S&P 500 collar strategy, including transaction-cost sensitivities and due-diligence analysis.

Early economic framework for YIELD, a project at crossroads between DeFi and my economics work. This presents an economic analysis of optimal capital allocation across DeFi lending protocols, specifically for populations in emerging countries (with specific constraints and lower capital available).

Systematic BIST equity portfolio toolkit - band rebalancing, transaction-cost modeling (Abdi-Ranaldo / Kyle), volatility calibration. Python, tested, CI-gated.

Research-only cost-viability study showing why Binance–Bybit perpetual funding spread arbitrage failed under realistic non-VIP retail execution assumptions.

Leakage-controlled short-horizon market microstructure research with out-of-sample validation, baseline challenges, robustness analysis, and transaction-cost sensitivity.

China A-share factor research, cost-aware portfolio accounting, and bootstrap robustness testing.

Research software and replication materials for cost-scale equivariance, harmonic-width transaction costs, and eligibility drift in futures trading rules.

Reproducible US momentum backtesting pipeline with 12-1 signals, transaction-cost sensitivity, multi-universe comparison, and HTML dashboards.

Transaction-cost-aware portfolio optimization using the Gârleanu–Pedersen framework, VAR-based signal dynamics, and PPO reinforcement learning on factor-driven portfolios.

Can your model beat doing nothing, after costs, without knowing the future? A benchmark for daily equity signals.

Almgren-Chriss optimal execution: closed-form trajectories, the efficient frontier, a Monte Carlo verifier, and a study of how wrong your impact model can be before TWAP wins.