eguidotti / bidaskLinks
Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
☆120Updated last week
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.☆120Updated last year
- Python library for asset pricing☆117Updated last year
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆177Updated last month
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆92Updated 7 months ago
- To classify trades into buyer- and seller-initiated.☆152Updated 2 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆108Updated 9 months ago
- A Python implementation of the rough Bergomi model.☆128Updated 7 years ago
- ☆82Updated 3 years ago
- Financial AI with Python☆93Updated 2 weeks ago
- ☆141Updated 2 years ago
- Code for the paper Volatility is (mostly) path-dependent☆70Updated last year
- ☆73Updated 4 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆92Updated 4 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆119Updated last week
- Material accompanying the MOSEK Portfolio Optimization Cookbook☆97Updated last year
- Probability of Backtest Overfitting in Python☆127Updated 2 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Updated 4 years ago
- Research Repo (Archive)☆75Updated 5 years ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆200Updated last year
- Macrosynergy Quant Research☆159Updated last week
- Portfolio optimization with cvxopt☆40Updated 9 months ago
- PortfolioLab is a python library that enables traders to take advantage of the latest portfolio optimisation algorithms used by professio…☆172Updated 3 years ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆122Updated 7 months ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆91Updated 2 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆85Updated last year
- Entropy Pooling in Python with a BSD 3-Clause license.☆41Updated last year
- ☆45Updated 2 years ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆124Updated last year
- Portfolio optimization using Genetic algorithm.☆61Updated 4 years ago