PortfolioEffect / PE-HFT-Matlab
MATLAB toolbox for high frequency portfolio analysis, intraday backtesting and optimization
☆29Updated 8 years ago
Related projects: ⓘ
- Python library for high frequency portfolio analysis, intraday backtesting and optimization☆65Updated 7 years ago
- Just another backtester☆20Updated 3 years ago
- a new simulator for statistical arbitrage☆14Updated 9 years ago
- Algorithmic trading platform for multiple assets☆35Updated 7 years ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆65Updated 8 years ago
- ☆17Updated this week
- High Frequency Trading☆105Updated 6 years ago
- ☆29Updated this week
- This project explores the way to construct the multiple factor risk model to calculate the risk contribution of each factor and the total…☆72Updated 6 years ago
- Machine learning approach to high frequency trading, MLP & RNN used☆22Updated 8 years ago
- Trading platform for high frequency data☆15Updated 9 years ago
- This project is to simulate the effects of high frequency trading on a stock. This is the code for the order book as well as 'traders' wh…☆25Updated 11 years ago
- Deep learning for price movement prediction using high frequency limit order data☆38Updated 5 years ago
- Volume Weighted Average Price Optimal Execution☆41Updated 5 years ago
- Notes for Active Portfolio Management, by Grinold and Kahn☆44Updated 8 years ago
- CVXPY Portfolio Optimization Sample☆42Updated 7 years ago
- ☆18Updated this week
- A python script to download daily futures market data from Interactive Brokers using IbPy☆27Updated 6 years ago
- Algo execution engine☆86Updated 8 years ago
- ☆100Updated 7 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆34Updated 3 years ago
- Gamma Scalping Trading Strategies☆17Updated 8 years ago
- ☆20Updated 3 years ago
- Zipline Extensions for QuantRocket☆18Updated 4 years ago
- The strategy-backtesting repository will hold the event driven python backtester. This program will test algorithmic strategies and pro…☆17Updated 8 years ago
- ☆37Updated this week
- C++ backtesting system for trading strategies (Chinese future market)☆20Updated 6 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆24Updated 3 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆36Updated 3 years ago
- Risk estimation algorithms☆30Updated 6 years ago