FranklinMa810 / Market-Microstructure
☆21Updated 5 years ago
Alternatives and similar repositories for Market-Microstructure:
Users that are interested in Market-Microstructure are comparing it to the libraries listed below
- Collection of Models related to market making☆16Updated 4 years ago
- Baruch MFE 2019 Spring☆39Updated 4 years ago
- Market making strategies and scientific papers☆13Updated last year
- Package to build risk model for factor pricing model☆24Updated 9 months ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- ☆49Updated 4 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- ☆31Updated 3 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- AS model performance versus trivial delta for market-makers☆18Updated 3 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- Dynamic delta hedging (DDH) is a trading strategy that involves hedging a non-linear position with linear instruments. Linear instruments…☆13Updated last year
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆8Updated 3 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆11Updated 3 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago
- Dynamic portfolio optimization☆22Updated last year
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆60Updated 2 years ago
- Delta hedging under SABR model☆30Updated 11 months ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- Baruch MFE MTH9894☆12Updated 7 years ago
- ☆17Updated 3 years ago
- Optimal high-frequency market making strategy☆21Updated 5 months ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆36Updated last year
- Contains all the Jupyter Notebooks used in our research☆15Updated 5 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆31Updated last year
- Fitting an SVI model using Zeliade's method in Python with Pandas☆12Updated 9 years ago