Alternatives and similar repositories for finm33150-final-project

Users that are interested in finm33150-final-project are comparing it to the libraries listed below

• moritz-voss / Parametric_Optimal_Execution_ML
  ☆12Updated last year
• useric / MTH9879-Market-Microstructure-Models
  Baruch MFE 2019 Spring
  ☆43Updated 5 years ago
• mlwynne24 / HSBC-Limit-Order-Book-Data-Project-
  This was a university group project supported by the HSBC Artificial Intelligence team. It involved applying machine learning algorithms …
  ☆14Updated 2 years ago
• david-alber / Pairs-Trading-as-application-to-the-Ornstein-Uhlenbeck-Process
  A model simulation shows how pairs trading could be used for two S&P500 traded stocks. It proofs that the strategy is successful on real…
  ☆27Updated 5 years ago
• im1235 / EIE
  Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data
  ☆36Updated 4 years ago
• Idriss-Afra / Stochastic-Volatility-Inspired-Model
  This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.
  ☆10Updated 7 months ago
• zugzvangg / crypto-calibration
  Stochastic volatility models and their application to Deribit crypro-options exchange
  ☆13Updated last year
• dolmatovas / HFT
  Repo for HFT project in CMF
  ☆28Updated 2 years ago
• rfbressan / py_ssvi
  Calibration of a Surface SVI
  ☆13Updated 6 years ago
• factorpricingmodel / factor-pricing-model-risk-model
  Package to build risk model for factor pricing model
  ☆27Updated last year
• electronicgore / finmarkets
  Financial Markets Microstructure course (UCPH, Masters in Econ)
  ☆24Updated 3 months ago
• mindful-math / LOB-Modeling
  Collection of Models related to market making
  ☆16Updated 4 years ago
• jshellen / statarb
  ☆37Updated 4 years ago
• FranklinMa810 / Market-Microstructure
  ☆24Updated 5 years ago
• Sarabmonga07 / Kernel-Smoothing-Technique-for-Option-Derivatives-
  Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …
  ☆12Updated 4 years ago
• echalkpad / MTH9894-Algo-Trading
  Baruch MFE MTH9894
  ☆13Updated 8 years ago
• comeh / LOB_AlgoTrading
  Some codes used for the numerical examples proposed in https://hal.archives-ouvertes.fr/hal-01514987v2 and https://arxiv.org/abs/1705.014…
  ☆23Updated 6 years ago
• pkuWu / Option_Hedge
  这是一个包含Zakamouline和WW两种期权对冲策略的项目
  ☆18Updated 3 years ago
• srich86 / Rough-Volatility-and-rBergomi-Model
  Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".
  ☆12Updated 3 years ago
• grayvalley / microprice-calibration
  Calibrates microprice model to BitMEX quote data
  ☆60Updated 4 years ago
• dpicone1 / LiborMarketModel
  Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option
  ☆12Updated 5 years ago
• xhshenxin / Micro_Price
  ☆53Updated 4 years ago
• layoups / microstructure-and-liquidity
  ☆21Updated 3 years ago
• DYSIM / Avellaneda-Stoikov-Implementation
  An implementation of Avellaneda-Stoikov market making model after reading the seminal paper
  ☆32Updated 4 years ago
• 369geofreeman / Ornstein_Uhlenbeck_Model
  A log likelihood process for optimal entry / exit / stopping.
  ☆14Updated 3 years ago
• bylethquant / simple-data-stack
  A Practical Guide to a Simple Data Stack.
  ☆39Updated last year
• ericbudish / HFT-Races
  Code package to analyze high-frequency trading (HFT) races using financial-exchange message data, following Aquilina, Budish and O'Neill …
  ☆47Updated 4 years ago
• joshuapjacob / almgren-chriss-optimal-execution
  An optimal trading trajectory solver.
  ☆34Updated 3 years ago
• sle14 / Options-market-making-using-a-stochastic-control-approach
  Derivation of analytical expressions of optimal quotes for market making in options.
  ☆20Updated 3 years ago
• kpuchalskixiv / Impact-of-market-microstructure-on-stock-price
  ☆15Updated 3 years ago