IlluvatarEru / ElectronicMarketsLinks
☆49Updated 7 years ago
Alternatives and similar repositories for ElectronicMarkets
Users that are interested in ElectronicMarkets are comparing it to the libraries listed below
Sorting:
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆121Updated last year
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆79Updated 7 years ago
- ☆37Updated 4 years ago
- ☆53Updated 4 years ago
- Baruch MFE 2019 Spring☆43Updated 5 years ago
- Time Series Prediction of Volume in LOB☆59Updated last year
- ☆122Updated 7 years ago
- Basic Limit Order Book functions☆23Updated 7 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆92Updated 2 years ago
- ☆33Updated 5 months ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆22Updated 3 years ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆59Updated 2 weeks ago
- Research Repo (Archive)☆74Updated 5 years ago
- Package to build risk model for factor pricing model☆27Updated last year
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆51Updated 5 years ago
- Backtest result archive for Momentum Trading Strategies☆64Updated 6 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆38Updated 5 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆74Updated 5 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆194Updated 3 months ago
- Python implementation of a sample covariance matrix shrinkage experiment☆32Updated 12 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Code for the paper Volatility is (mostly) path-dependent☆70Updated last year
- Delta hedging under SABR model☆41Updated last year
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆116Updated 6 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆68Updated 5 years ago
- ☆24Updated 5 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Updated 4 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Updated 5 years ago
- CS7641 Team project☆97Updated 5 years ago