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☆37Updated 4 years ago
- Market making strategies and scientific papers☆13Updated last year
- ☆29Updated 3 years ago
- AS model performance versus trivial delta for market-makers☆18Updated 3 years ago
- Package to build risk model for factor pricing model☆24Updated 6 months ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- A financial trading method using machine learning.☆58Updated last year
- 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
- ☆47Updated 3 years ago
- A low frequency statistical arbitrage strategy☆19Updated 5 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago
- Basic Limit Order Book functions☆21Updated 6 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆25Updated 6 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆65Updated 5 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆27Updated 3 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆21Updated last year
- Baruch MFE MTH9894☆12Updated 7 years ago
- Dynamic portfolio optimization☆20Updated last year
- Repo for HFT project in CMF☆28Updated 2 years ago
- A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading☆14Updated 3 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆57Updated 11 months ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆26Updated 4 years ago
- Calibration of a Surface SVI☆12Updated 6 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆11Updated 4 years ago
- This repo is for my articles published on Medium.com☆16Updated last year