JackBenny39 / pyziabm
Zero Intelligence Agent-Based Model of Modern Limit Order Book
☆51Updated 7 years ago
Alternatives and similar repositories for pyziabm:
Users that are interested in pyziabm are comparing it to the libraries listed below
- Advances in Financial Machine Learning by Marcos Lopez De Prado☆54Updated 5 years ago
- Limit Order Book Implemented in Python☆93Updated 7 years ago
- Market Making / Stat Arb strategy☆60Updated 7 years ago
- By means of stochastic volatility models☆44Updated 4 years ago
- Optimal Rebalancing Strategy Using Dynamic Programming for Institutional Portfolios☆22Updated 10 years ago
- List of portfolio management resources, using Reinforcement Learning.☆41Updated last year
- A Python module for market simulation☆23Updated 2 months ago
- A Python toolkit for high-frequency trade research.☆41Updated 6 years ago
- Deep learning modelling of orderbooks☆95Updated 4 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆86Updated 4 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- High-frequency trading in a limit order book☆58Updated 5 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆59Updated last year
- finance☆43Updated 7 years ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆40Updated this week
- Extract and visualize implied volatility from option chain data☆33Updated 3 months ago
- Quantitative Finance using python - Derivatives Pricing☆43Updated 7 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆49Updated 3 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima …☆31Updated 4 years ago
- Implementation of a Bayesian-style market maker in the vein of 'Intelligent Market-Making in Artificial Financial Markets' by Sanmay Das☆105Updated 9 years ago
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆33Updated 4 years ago
- ☆49Updated 3 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆75Updated 6 years ago
- Example of order book modeling.☆56Updated 5 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆35Updated 3 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆59Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆79Updated 2 years ago
- Financial security modelling with Python and QuantLib☆34Updated 10 years ago
- Volatility surface visualizer for cryptocurrency options.☆52Updated 2 years ago
- Volume-Synchronized Probability of Informed Trading☆110Updated 11 years ago