Weichong515 / Algo-Trading-14
Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm
☆15Updated 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++)☆17Updated 5 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Market making strategies and scientific papers☆13Updated last year
- This is for the capstone project "Optimal Execution of a VWAP order".☆33Updated 5 years ago
- This is the final project of Statistical Arbitrage course and it aims to apply pairs trading in high frequency data to realize auto-tradi…☆18Updated 6 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- High Frequency Jump Prediction Project☆36Updated 4 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 4 years ago
- Trend Prediction for High Frequency Trading☆40Updated 2 years ago
- Reproduce the result of the paper "Deep Learning with Long Short-Term Memory Networks for Financial Market Prediction"☆19Updated 4 years ago
- Deep learning for price movement prediction using high frequency limit order data☆40Updated 6 years ago
- ☆24Updated 6 years ago
- AS model performance versus trivial delta for market-makers☆18Updated 3 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆36Updated last year
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆28Updated 3 years ago
- Basic Limit Order Book functions☆21Updated 7 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 5 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆18Updated 2 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆63Updated 2 years ago
- ☆18Updated 8 years ago
- OpenAI Gym Environment for Low-Latency Trading☆18Updated 6 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆13Updated 6 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- Optimizing the Pairs-Trading Strategy using Deep Reinforcement Learning with Trading and Stop-loss Boundaries☆13Updated 3 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆26Updated 2 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆25Updated last year