chrischia06 / AlgoTradingSimulatedPathsLinks
Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB
☆36Updated 4 years ago
Alternatives and similar repositories for AlgoTradingSimulatedPaths
Users that are interested in AlgoTradingSimulatedPaths are comparing it to the libraries listed below
Sorting:
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆72Updated 5 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- ☆117Updated 7 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆16Updated 7 years ago
- ☆52Updated 4 years ago
- Notes on Advances in Financial Machine Learning☆80Updated 6 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆93Updated 4 years ago
- Volume-Synchronized Probability of Informed Trading☆113Updated 11 years ago
- Research Repo (Archive)☆75Updated 4 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆133Updated 6 years ago
- Backtest result archive for Momentum Trading Strategies☆63Updated 6 years ago
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆21Updated 6 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆67Updated last year
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆66Updated 2 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆31Updated 4 years ago
- High-frequency trading in a limit order book☆60Updated 6 years ago
- CS7641 Team project☆96Updated 5 years ago
- Example of order book modeling.☆58Updated 6 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆92Updated last year
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆33Updated last year
- ☆74Updated 4 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆30Updated 4 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆49Updated 5 years ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆65Updated 5 years ago