☆24Jan 26, 2020Updated 6 years ago
Alternatives and similar repositories for Market-Microstructure
Users that are interested in Market-Microstructure are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- MFM workshop project☆15Jan 25, 2021Updated 5 years ago
- Baruch course - Market Microstructure☆14Feb 2, 2016Updated 10 years ago
- A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading☆21May 4, 2021Updated 5 years ago
- experiments with crypto trading☆16Jul 26, 2024Updated last year
- Exploring Optimal Order Execution in Simulated Limit Order Books☆20Dec 8, 2022Updated 3 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- ☆16Apr 6, 2022Updated 4 years ago
- A collection of homeworks of market microstructure models.☆285May 4, 2018Updated 8 years ago
- This project is based upon the paper: Frazzini, A. & Pedersen, L. (2014). Betting against beta.☆23Jan 20, 2022Updated 4 years ago
- Time Series Prediction of Volume in LOB☆60Apr 17, 2024Updated 2 years ago
- Baruch MFE 2019 Spring☆45May 29, 2020Updated 5 years ago
- Robust deep hedging and Non-linear generalized affine processes☆13Mar 7, 2025Updated last year
- Bitmex market microstructure analytics☆23Feb 24, 2021Updated 5 years ago
- The model focuses on predicting the impact of trading activities on stock prices using order flow imbalance, trading volume and price cha…☆35May 20, 2024Updated last year
- ☆38Aug 29, 2022Updated 3 years ago
- Serverless GPU API endpoints on Runpod - Get Bonus Credits • AdSkip the infrastructure headaches. Auto-scaling, pay-as-you-go, no-ops approach lets you focus on innovating your application.
- Limit Orderbook Replay/Analysis Library☆10Nov 19, 2018Updated 7 years ago
- ☆25Dec 18, 2015Updated 10 years ago
- Reading notes and Python implementation for book "Machine Learning for Factor Investing" by Silkdust☆14Nov 21, 2023Updated 2 years ago
- ☆12Apr 17, 2021Updated 5 years ago
- A rewritten version of C++ Design Patterns and Derivatives Pricing coded in Python☆10Sep 16, 2019Updated 6 years ago
- baruch mfe mth9814 financial instruments☆21Jun 3, 2018Updated 7 years ago
- detecting regime of financial market☆49Sep 30, 2022Updated 3 years ago
- Repo for HFT project in CMF☆29Jan 4, 2023Updated 3 years ago
- High Frequency Trading Strategy☆12Dec 20, 2018Updated 7 years ago
- End-to-end encrypted email - Proton Mail • AdSpecial offer: 40% Off Yearly / 80% Off First Month. All Proton services are open source and independently audited for security.
- 众人的因子回测框架 stock factor test☆30Apr 18, 2026Updated 2 weeks ago
- Collection of numerical methods for high frequency data, in Python notebooks☆13Mar 10, 2021Updated 5 years ago
- Market making strategies and scientific papers☆14Aug 20, 2023Updated 2 years ago
- Mean Reversion Trading Strategy☆29Apr 20, 2021Updated 5 years ago
- Libor curve bootstrapping example from cash, Eurodollar future and interest rate swap instruments.☆22Jan 30, 2019Updated 7 years ago
- Momentum Trading Assistant (MTA) is a python program designed to replace a Momentum Trader using the Interactive Brokers Trader Workstati…☆11Jan 12, 2026Updated 3 months ago
- ☆30Aug 7, 2022Updated 3 years ago
- A main CTA backtesting system and several research of utilizing machine learning on asset pricing☆15Dec 9, 2024Updated last year
- Python implementation of Markov Switching Model using Bayesian inference (Gibbs Sampling) by Lim et al (2020)☆10Dec 4, 2022Updated 3 years ago
- End-to-end encrypted cloud storage - Proton Drive • AdSpecial offer: 40% Off Yearly / 80% Off First Month. Protect your most important files, photos, and documents from prying eyes.
- ☆12Jul 19, 2020Updated 5 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆14Feb 2, 2023Updated 3 years ago
- ☆16Dec 11, 2020Updated 5 years ago
- Option Strategy for Futures☆19Jul 29, 2020Updated 5 years ago
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆261Apr 12, 2022Updated 4 years ago
- Code to simplify data extraction using the Bloomberg desktop API for VBA Users. Can pull reference data, bulk reference data, historical …☆14Oct 18, 2024Updated last year
- Apply machine learning algorithms in the financial market. Ensemble Model, including XGBoost, LightGBM, CNN, ResNet and LSTM.☆10Jun 5, 2022Updated 3 years ago