MarcosCarreira / Hawkes-With-Latency
Hawkes with Latency
☆20Updated 4 years ago
Alternatives and similar repositories for Hawkes-With-Latency:
Users that are interested in Hawkes-With-Latency are comparing it to the libraries listed below
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆27Updated 4 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Basic Limit Order Book functions☆21Updated 7 years ago
- Collection of Models related to market making☆16Updated 4 years ago
- ☆19Updated 4 years ago
- ☆12Updated last year
- ☆25Updated 2 months ago
- XTX Forecasting Challenge https://challenge.xtxmarkets.com/☆9Updated 5 years ago
- Some codes used for the numerical examples proposed in https://hal.archives-ouvertes.fr/hal-01514987v2 and https://arxiv.org/abs/1705.014…☆21Updated 5 years ago
- ☆21Updated 5 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆30Updated last year
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- ☆31Updated 3 years ago
- Package to build risk model for factor pricing model☆24Updated 8 months ago
- ☆49Updated 4 years ago
- Market making strategies and scientific papers☆13Updated last year
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆17Updated last year
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆41Updated this week
- ☆21Updated 2 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- ☆63Updated 2 months ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 6 months ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 2 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- High Frequency Jump Prediction Project☆36Updated 4 years ago