arniwesth / the-winton-stock-market-challengeLinks
In this recruiting competition, Winton challenges you to take on the very difficult task of predicting the future (stock returns).
☆12Updated 5 years ago
Alternatives and similar repositories for the-winton-stock-market-challenge
Users that are interested in the-winton-stock-market-challenge are comparing it to the libraries listed below
Sorting:
- Exploring Optimal Order Execution in Simulated Limit Order Books☆19Updated 3 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago
- ☆12Updated 2 years ago
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆23Updated 7 years ago
- Event-driven Algorithmic Trading For Python☆25Updated 6 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆51Updated 4 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆27Updated 5 years ago
- Volume Weighted Average Price Optimal Execution☆42Updated 6 years ago
- Implementation of code snippets and exercises in the book Machine Learning for Asset Managers written by Prof. Marcos López de Prado.☆16Updated 5 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- Model Calibration with Neural Networks☆48Updated 7 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 7 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆30Updated 5 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Updated 2 years ago
- Use Neural Network as a trading strategy model☆29Updated 8 years ago
- Create a mid-price classifier for limit order books using a CNN and LSTM☆15Updated 5 years ago
- Gerber robust statistics for portfolio optimization☆62Updated 3 years ago
- 2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)☆18Updated 6 years ago
- Deep learning for limit order book trading and mid-price movement☆55Updated 5 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆33Updated 5 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆24Updated 4 years ago
- Advancing in Financial Machine Learning☆16Updated 5 years ago
- A rewritten version of C++ Design Patterns and Derivatives Pricing coded in Python☆10Updated 6 years ago
- Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB☆36Updated 4 years ago
- This module allows you to easily create order-based financial markets, add agents with various strategies, and evaluate the actions of ag…☆30Updated 3 years ago
- High Frequency Jump Prediction Project☆38Updated 5 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated 2 weeks ago
- A HMM application in Kritzman Regime Detection☆15Updated 5 years ago
- Create structured financial data in the form of tick, volume, and dollar bars from unstructured tick data. From Marcos Lopez de Prado's A…☆11Updated 4 years ago