Optimal Execution and Market Impact Models: Almgren-Chriss Trajectories, the Square-Root Impact Law, Transient Propagator Models, Dark Pools, and Implementation Shortfall

Deep End Era. Engineering with Sankalp · Oct 29, 2026 · 1h 16m

Welcome back to The Deep End. We are in Episode 432, the third installment of our ten-part series on Quantitative Finance, Market Microstructure, and Risk Engineering. In Episode 430, we built a nanosecond Limit Order Book matching engine from scratch, and in Episode 431, we sat in the chair of the Market Maker defending our quotes against Informed Traders using Glosten-Milgrom Bayesian updating, Kyle's Lambda, Avellaneda-Stoikov inventory skew, and VPIN order-flow toxicity. Today, we walk across the trading floor and sit in the exact opposite chair: the chair of the Institutional Portfolio…