eguidotti / bidaskLinks
Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
☆118Updated 7 months ago
Alternatives and similar repositories for bidask
Users that are interested in bidask are comparing it to the libraries listed below
Sorting:
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- Python library for asset pricing☆117Updated last year
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆91Updated 6 months ago
- Material accompanying the MOSEK Portfolio Optimization Cookbook☆97Updated last year
- Statistical Jump Models in Python, with scikit-learn-style APIs☆100Updated 8 months ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆176Updated last month
- Probability of Backtest Overfitting in Python☆126Updated 2 years ago
- To classify trades into buyer- and seller-initiated.☆151Updated 2 years ago
- A Python implementation of the rough Bergomi model.☆126Updated 7 years ago
- Macrosynergy Quant Research☆155Updated this week
- ☆73Updated 4 years ago
- ☆141Updated 2 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆82Updated last year
- Financial AI with Python☆92Updated 6 months ago
- ☆44Updated 2 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆91Updated 4 years ago
- Code for the paper Volatility is (mostly) path-dependent☆69Updated last year
- Portfolio optimization with cvxopt☆40Updated 8 months ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆90Updated 2 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Updated 4 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆118Updated 3 months ago
- ☆67Updated 3 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
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆191Updated last year
- ☆82Updated 3 years ago
- A tool for combining historical data with user-provided forecasts to produce Kelly optimal portfolio allocations☆86Updated 3 months ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆123Updated last year
- Implements different approaches to tactical and strategic asset allocation☆39Updated 9 months ago
- Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.☆264Updated last month