INET-Complexity / ESL
The Economic Simulation Library provides an extensive collection of tools to develop, test, analyse and calibrate economic and financial agent-based models. The library is designed to take advantage of different computer architectures. In order to facilitate rapid iteration during model development the library can use parallel computation. Econ…
☆56Updated 2 years ago
Related projects: ⓘ
- Agent-based computational Finance☆35Updated last year
- ☆17Updated 5 years ago
- Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley,…☆19Updated 3 years ago
- Multi-Agent eXchange simulator developed at Oxford-Man Institute☆55Updated 4 years ago
- Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)☆37Updated last year
- Code and examples for the project on risk-constrained Kelly gambling☆26Updated 3 years ago
- Code package to analyze high-frequency trading (HFT) races using financial-exchange message data, following Aquilina, Budish and O'Neill …☆43Updated 2 years ago
- An Agent-Based Financial Platform. See how evolve agents in a realistic double auction order book☆10Updated 2 years ago
- A limit order book matching engine written in Julia☆27Updated 2 years ago
- Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation …☆27Updated last year
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆60Updated 4 years ago
- Hawkes with Latency☆16Updated 3 years ago
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆32Updated 10 months ago
- A Python Package for Portfolio Optimization using the Critical Line Algorithm☆24Updated last year
- Agent-based model of the UK housing market.☆38Updated 2 years ago
- Examples and demos showing how to call functions from the NAG Library for Python☆60Updated 2 weeks ago
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆15Updated 4 years ago
- An agent-based computational economy with macroeconomic equilibria from microeconomic behaviors☆101Updated 5 months ago
- Talk Materials for "Convex Optimization for Finance"☆28Updated last year
- Some implementations from the paper robust risk aware reinforcement learning☆33Updated 2 years ago
- Algorithmic game theory, recursive macroeconomics, machine learning for econometrics☆44Updated 6 years ago
- Digital Signal Processing Indicators For Market Data.☆28Updated 4 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆35Updated 5 years ago
- Price response function and spread impact analysis in correlated financial markets☆15Updated 2 years ago
- A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep G…☆28Updated 4 years ago
- Democratizing Index Tracking for Small Investors in Europe: A Meta-Learning Method for Sparse Portfolio Optimization☆80Updated last year
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆31Updated 2 years ago
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆12Updated 2 years ago
- C++ implementation of rBergomi model☆23Updated 6 years ago
- A flexible framework for multi-agent models in economics and finance☆34Updated 3 years ago