SeanNassimiha / Optiver-Algo-Trading-ChallengeLinks
Submission for the Optiver Challenge as part of the Hex Cambridge Hackathon in January 2021
☆25Updated 3 years ago
Alternatives and similar repositories for Optiver-Algo-Trading-Challenge
Users that are interested in Optiver-Algo-Trading-Challenge are comparing it to the libraries listed below
Sorting:
- Dynamic portfolio optimization☆28Updated last year
- ☆21Updated 2 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆37Updated 2 years ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆58Updated last week
- By means of stochastic volatility models☆44Updated 5 years ago
- Time Series Prediction of Volume in LOB☆58Updated last year
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆72Updated 5 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 5 years ago
- ☆24Updated 5 years ago
- ☆38Updated 4 years ago
- Dispersion Trading using Options☆33Updated 8 years ago
- ☆13Updated 3 years ago
- Package to build risk model for factor pricing model☆27Updated last year
- ☆41Updated 4 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Research Repo (Archive)☆75Updated 5 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- ☆52Updated 4 years ago
- A Deep Learning Framework for Neural Derivative Hedging☆31Updated 3 years ago
- Hawkes with Latency☆20Updated 4 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆48Updated 4 years ago
- Delta hedging under SABR model☆35Updated last year
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆32Updated 5 years ago
- Deep learning modelling of orderbooks☆100Updated 5 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆54Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- Example of order book modeling.☆58Updated 6 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…☆23Updated 6 years ago
- Collection of Models related to market making☆17Updated 4 years ago