eguidotti / bidaskLinks
Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
☆120Updated 2 months ago
Alternatives and similar repositories for bidask
Users that are interested in bidask are comparing it to the libraries listed below
Sorting:
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆122Updated last year
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- Python library for asset pricing☆125Updated last year
- Statistical Jump Models in Python, with scikit-learn-style APIs☆118Updated 11 months ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆195Updated 3 months ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆103Updated 9 months ago
- Financial AI with Python☆98Updated last month
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆94Updated 2 years ago
- ☆142Updated 2 years ago
- To classify trades into buyer- and seller-initiated.☆154Updated 3 years ago
- A Python implementation of the rough Bergomi model.☆135Updated 7 years ago
- Probability of Backtest Overfitting in Python☆127Updated 2 years ago
- Material accompanying the MOSEK Portfolio Optimization Cookbook☆99Updated last year
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆93Updated 4 years ago
- ☆82Updated 3 years ago
- Time Series Prediction of Volume in LOB☆59Updated last year
- PortfolioLab is a python library that enables traders to take advantage of the latest portfolio optimisation algorithms used by professio…☆175Updated 4 years ago
- Research Repo (Archive)☆74Updated 5 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆86Updated last year
- Code for the paper Volatility is (mostly) path-dependent☆71Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆125Updated 2 months ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆122Updated 2 years ago
- ☆47Updated 2 years ago
- ☆73Updated 5 years ago
- Macrosynergy Quant Research☆163Updated last week
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆211Updated last year
- Portfolio optimization with cvxopt☆40Updated last week
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 7 years ago
- ☆70Updated 6 months ago