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…
☆61Updated 2 years ago
Alternatives and similar repositories for ESL:
Users that are interested in ESL are comparing it to the libraries listed below
- Agent-based computational Finance☆38Updated 2 years ago
- Multi-Agent eXchange simulator developed at Oxford-Man Institute☆59Updated 4 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆26Updated 4 years ago
- ☆17Updated 6 years ago
- An agent-based computational economy with macroeconomic equilibria from microeconomic behaviors☆107Updated 9 months ago
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆34Updated last year
- Price response function and spread impact analysis in correlated financial markets☆15Updated this week
- The project simulates a generic agent based market model. The aim is to explore intimately, by simulation, the process of price formation…☆64Updated 9 years ago
- Code package to analyze high-frequency trading (HFT) races using financial-exchange message data, following Aquilina, Budish and O'Neill …☆45Updated 3 years ago
- A limit order book matching engine written in Julia☆28Updated 3 years ago
- Agent-based model of the UK housing market.☆40Updated 2 months ago
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆13Updated 2 years ago
- ☆20Updated 3 years ago
- Algorithmic game theory, recursive macroeconomics, machine learning for econometrics☆45Updated 6 years ago
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆62Updated 5 years ago
- Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley,…☆20Updated 4 years ago
- A flexible framework for multi-agent models in economics and finance☆37Updated 4 years ago
- Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)☆38Updated last year
- An Agent-Based Financial Platform. See how evolve agents in a realistic double auction order book☆12Updated 2 years ago
- Compile risk with cvxpy☆11Updated this week
- A Python Package for Portfolio Optimization using the Critical Line Algorithm☆25Updated last year
- Agent-based computational Economics, the Python library that makes AB modelling easier☆197Updated 11 months 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
- Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Depend…☆20Updated 10 months ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆24Updated 2 years ago
- Some implementations from the paper robust risk aware reinforcement learning☆35Updated 3 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆33Updated 2 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆55Updated last year
- Simulated markets based on Zero-Intelligence agent☆17Updated 4 years ago
- ☆7Updated 4 years ago