Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
☆137Oct 13, 2025Updated last year
Alternatives and similar repositories for bidask
Users that are interested in bidask are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Python implementation of random-forest-based nonlinear dependence and correlation measures.☆15May 3, 2022Updated 4 years ago
- ☆13May 27, 2023Updated 3 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆64Jul 5, 2022Updated 4 years ago
- TorchQuantum is a backtesting framework that integrates the structure of PyTorch and WorldQuant's Operator for efficient quantitative fin…☆53Jul 13, 2023Updated 3 years ago
- This repository is for my master's project, A Survey of Deep Learning Architectures for Algorithmic Cryptocurrency Trading, delivered on …☆10Nov 30, 2022Updated 3 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- ☆10Jul 27, 2020Updated 6 years ago
- A commodity quant library☆12Jun 30, 2025Updated last year
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆27Dec 26, 2022Updated 3 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆24May 8, 2024Updated 2 years ago
- ☆21Nov 4, 2022Updated 3 years ago
- ☆28Aug 26, 2024Updated 2 years ago
- Agent-based model for systemically-important banks in the EU. Reproduces Cont-Schaanning 2017.☆12May 8, 2021Updated 5 years ago
- Python library for shrinkage cleaning of large correlation matrices.☆14Mar 7, 2024Updated 2 years ago
- Open source password manager - Proton Pass • AdSecurely store, share, and autofill your credentials with Proton Pass, the end-to-end encrypted password manager trusted by millions.
- ☆15Apr 6, 2022Updated 4 years ago
- Calibrates microprice model to BitMEX quote data☆65Jul 1, 2021Updated 5 years ago
- Implementing a first hurdle for expected returns☆19Updated this week
- Large Deviations for volatility options☆13Feb 28, 2019Updated 7 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆128Jan 10, 2024Updated 2 years ago
- Volatility models for stock prices using deep learning and mixture models.☆15Aug 20, 2022Updated 4 years ago
- Online Covariance and Correlation Estimation☆338Oct 6, 2026Updated 3 weeks ago
- Kite connect websocket implementation in asyncio, to get away with twisted dependency.☆13May 20, 2023Updated 3 years ago
- ☆141Jul 10, 2023Updated 3 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- A modification of traditional random forest for time-series forecasting☆15Apr 16, 2024Updated 2 years ago
- OItool helps you to analyze future and option data. It uses Grafana for visualization and Influxfb for the database to store data.☆20Aug 26, 2021Updated 5 years ago
- Python scripts to get historical intraday quotes from Yahoo Finance☆12Aug 25, 2025Updated last year
- ☆11Oct 6, 2020Updated 6 years ago
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆28Dec 10, 2018Updated 7 years ago
- Python library for multivariate dependence modeling with Copulas☆120Jun 11, 2024Updated 2 years ago
- Implements Path Shadowing Monte Carlo (PSMC).☆88Dec 19, 2024Updated last year
- Python library for asset pricing☆132Mar 13, 2024Updated 2 years ago
- Python/Stata Package for Stochastic Dominance Test☆14Jan 26, 2026Updated 9 months ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- Simulation of delta hedging☆18Jul 15, 2020Updated 6 years ago
- The hofa package contains an extensive toolkit for factor analysis based on higher-order multi-cumulant in R. The package is complementar…☆11Mar 4, 2026Updated 7 months ago
- Implementation of code snippets, exercises and application to live data from Machine Learning for Asset Managers (Elements in Quantitativ…☆674Feb 11, 2026Updated 8 months ago
- A Python project for demonstrating how to use Polars to analyze election data.☆14Mar 8, 2026Updated 7 months ago
- Use of LSTM to predict the implied volatility skew in financial markets☆12Apr 9, 2024Updated 2 years ago
- ☆10Mar 28, 2022Updated 4 years ago
- Pricing and calibration models☆13Mar 28, 2025Updated last year