codemedic / cronos
An Open Source Time Series Analysis Package
☆19Updated 11 years ago
Related projects: ⓘ
- Fast Unit Root Tests and OLS regression in C++ with wrappers for R and Python☆88Updated 2 years ago
- C++ trading client with Qt gui☆40Updated 9 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆34Updated 3 years ago
- ☆38Updated 9 years ago
- QuantLib ported to C++17 and with all Boost dependency removed☆73Updated 7 years ago
- general purpose backtesting platform, prevents look-ahead bias☆30Updated 13 years ago
- C++(11) financial market orderbook and matching engine with Python extension module☆25Updated 3 years ago
- ☆23Updated this week
- ☆45Updated 2 months ago
- Volume Weighted Average Price Optimal Execution☆41Updated 5 years ago
- C++ Trading Algorithm Backtest Environment☆83Updated 5 years ago
- Improved TWS API POSIX C++ library for the Interactive Brokers (IB) TWS (same project as TwsApiC++ in Yahoo TWSAPI).☆103Updated last year
- Source Code for 'Testing and Tuning Market Trading Systems' by Timothy Masters☆57Updated 5 years ago
- MATLAB toolbox for high frequency portfolio analysis, intraday backtesting and optimization☆29Updated 8 years ago
- Pairs Trading Strategy Implementation in C++☆19Updated 7 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆55Updated last year
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆35Updated 5 years ago
- TA-Lib RT is a fork of TA-Lib that provides additional API for incremental calculation of indicators without reprocessing whole data.☆80Updated 8 months ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 6 years ago
- ☆39Updated 5 months ago
- This project is to simulate the effects of high frequency trading on a stock. This is the code for the order book as well as 'traders' wh…☆25Updated 11 years ago
- An event-based backtester written in Python for algorithmic trading.☆43Updated 6 years ago
- a new simulator for statistical arbitrage☆14Updated 9 years ago
- A high-performance, open-source, header-only C++(>=11) library for pricing derivatives.☆56Updated last year
- Probability of Backtest Overfitting in Python☆116Updated last year
- The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to ma…☆147Updated 11 months ago
- Gerber robust statistics for portfolio optimization☆53Updated 2 years ago
- finance☆43Updated 7 years ago
- High Frequency Trading☆105Updated 6 years ago
- FIX order manager client for fix order routing in C++ using QuickFIX engine can be used for Trading Technologies (TT) or CQG and others☆12Updated last month