Weichong515 / Algo-Trading-14Links
Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm
☆16Updated 6 years ago
Alternatives and similar repositories for Algo-Trading-14
Users that are interested in Algo-Trading-14 are comparing it to the libraries listed below
Sorting:
- 2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)☆18Updated 6 years ago
- Market making strategies and scientific papers☆14Updated 2 years ago
- SABR Implied volatility asymptotics☆25Updated 5 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆22Updated 3 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 3 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆29Updated 4 years ago
- Modelling the implicit volatility, using multi-factor statistical models.☆20Updated 8 months 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
- High Frequency Trading bot for 2019 Traders at MIT, HFT Case. I placed 4th in the HFT competition (2nd overall) out of 120.☆19Updated 6 years ago
- High Frequency Jump Prediction Project☆38Updated 5 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆30Updated 2 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆36Updated 6 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆72Updated 2 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 4 years ago
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆37Updated 5 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- Reproduce the result of the paper "Deep Learning with Long Short-Term Memory Networks for Financial Market Prediction"☆19Updated 5 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Updated 5 years ago
- Backtest result archive for Momentum Trading Strategies☆67Updated 6 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆70Updated last year
- Exploring Optimal Order Execution in Simulated Limit Order Books☆20Updated 3 years ago
- ☆24Updated 5 years ago
- Models and programs developed as part of XTX Forecastin Challenge 2019☆27Updated 2 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 9 months ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆30Updated 7 years ago
- Basic Limit Order Book functions☆23Updated 7 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆18Updated 5 years ago
- Trend Prediction for High Frequency Trading☆42Updated 3 years ago
- Stock Market Prediction on High-Frequency Data Using soft computing based AI models☆20Updated last year