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operator-splitting

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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. 

  • Updated Mar 15, 2026
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