alexbotsula / XTX_ChallengeLinks
Models and programs developed as part of XTX Forecastin Challenge 2019
☆26Updated last year
Alternatives and similar repositories for XTX_Challenge
Users that are interested in XTX_Challenge are comparing it to the libraries listed below
Sorting:
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆47Updated 5 years ago
- ☆50Updated 4 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆35Updated 4 years ago
- Volume Weighted Average Price Optimal Execution☆42Updated 6 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆28Updated 5 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 4 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆18Updated 3 years ago
- Regime-Switching Model☆17Updated 7 years ago
- Delta hedging under SABR model☆32Updated last year
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- Market making strategies and scientific papers☆13Updated last year
- XTX Forecasting Challenge https://challenge.xtxmarkets.com/☆9Updated 5 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆64Updated last year
- These are trading results and arbitrage models from Southern China Center for Statistical Science (SC2S2), Sun Yat-sen University☆19Updated 6 years ago
- Deep learning for price movement prediction using high frequency limit order data☆40Updated 6 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆81Updated 2 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆62Updated 5 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆34Updated last year
- A project of building and running a trading system according to service oriented architecture standard.☆15Updated 7 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 4 years ago
- Code for the paper Volatility is (mostly) path-dependent☆62Updated last year
- Collection of Models related to market making☆17Updated 4 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆29Updated 3 years ago
- ☆24Updated 5 years ago
- ☆33Updated 3 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆14Updated 3 years ago