Alternatives and similar repositories for pymicrostructure

Users that are interested in pymicrostructure are comparing it to the libraries listed below

• YuMan-Tam / deep-hedging
  Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.
  ☆161Updated 4 years ago
• ArturSepp / StochVolModels
  Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…
  ☆172Updated this week
• FinancialComputingUCL / LOBFrame
  We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.
  ☆185Updated last year
• vicaws / arbitragerepair
  Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.
  ☆120Updated last year
• Dagalon / PyStochasticVolatility
  This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…
  ☆117Updated 2 months ago
• eguidotti / bidask
  Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
  ☆117Updated 6 months ago
• milenavuletic / VolGAN
  Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
  ☆89Updated 5 months ago
• Yizhan-Oliver-Shu / jump-models
  Statistical Jump Models in Python, with scikit-learn-style APIs
  ☆87Updated 7 months ago
• ryanmccrickerd / rough_bergomi
  A Python implementation of the rough Bergomi model.
  ☆124Updated 6 years ago
• AI-Stuff / hudson-and-thames-research
  Research Repo (Archive)
  ☆75Updated 4 years ago
• gjimzhou / MTH9879-Market-Microstructure-Models
  A collection of homeworks of market microstructure models.
  ☆255Updated 7 years ago
• hansbuehler / deephedging
  Implementation of the vanilla Deep Hedging engine
  ☆285Updated 2 years ago
• guijinSON / Awesome-Deep-Hedging
  A curated list of resources dedicated to Deep Hedging
  ☆85Updated 2 years ago
• useric / MTH9879-Market-Microstructure-Models
  Baruch MFE 2019 Spring
  ☆40Updated 5 years ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆66Updated last year
• s0ap / gs-quantitative-strategies-research-notes
  Collection of papers from the Goldman Sachs Quantitative Strategies Research Notes series (published in the '90s)
  ☆117Updated 4 years ago
• nburgessx / SwapsBook
  Low Latency Interest Rate Markets – Theory, Pricing and Practice
  ☆240Updated 7 months ago
• mChataign / DupireNN
  Neural network local volatility with dupire formula
  ☆79Updated 4 years ago
• saeed349 / Advances-in-Financial-Machine-Learning
  Using Dask, a Python framework, I handle 900 million rows of S&P E-mini futures trade tick data directly on a local machine. Through expl…
  ☆40Updated last year
• chulwoohan / pyanomaly
  Python library for asset pricing
  ☆117Updated last year
• fortitudo-tech / fortitudo.tech
  Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.
  ☆265Updated 2 weeks ago
• macrosynergy / macrosynergy
  Macrosynergy Quant Research
  ☆153Updated this week
• firmai / research
  Notebooks based on financial machine learning.
  ☆52Updated 5 years ago
• hudson-and-thames / backtest_tutorial
  ☆143Updated last year
• RiskLabAI / RiskLabAI.py
  Financial AI with Python
  ☆89Updated 5 months ago
• hudson-and-thames / arbitrage_research
  Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.
  ☆127Updated last year
• nkonts / replication-the-virtue-of-complexity-in-return-prediction
  Replication of https://ssrn.com/abstract=3984925
  ☆47Updated last year
• junsu489 / volatility_arbitrage
  volatility arbitrage in Heston model
  ☆56Updated 5 months ago
• esvhd / pypbo
  Probability of Backtest Overfitting in Python
  ☆126Updated 2 years ago
• amuguruza / NN-StochVol-Calibrations
  We implement the paper: Deep Learning Volatility
  ☆194Updated 5 years ago