IlluvatarEru / ElectronicMarketsLinks
☆48Updated 7 years ago
Alternatives and similar repositories for ElectronicMarkets
Users that are interested in ElectronicMarkets are comparing it to the libraries listed below
Sorting:
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- ☆113Updated 7 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆81Updated 2 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆119Updated last year
- ☆49Updated 4 years ago
- ☆33Updated 3 years ago
- ☆45Updated 5 years ago
- ☆27Updated 2 weeks ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆70Updated 5 years ago
- Delta hedging under SABR model☆32Updated last year
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- Research Repo (Archive)☆73Updated 4 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆15Updated 7 years ago
- Surface SVI parameterisation and corresponding local volatility☆46Updated 5 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆51Updated 3 years ago
- ☆23Updated 5 years ago
- Code for the paper Volatility is (mostly) path-dependent☆61Updated last year
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆45Updated last week
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆64Updated last year
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆33Updated 2 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆31Updated 3 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆92Updated 4 years ago
- Backtest result archive for Momentum Trading Strategies☆58Updated 6 years ago
- Package to build risk model for factor pricing model☆25Updated 10 months ago
- Example of order book modeling.☆56Updated 5 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- Volume-Synchronized Probability of Informed Trading☆113Updated 11 years ago
- Basic Limit Order Book functions☆21Updated 7 years ago