electronicgore / finmarketsLinks
Financial Markets Microstructure course (UCPH, Masters in Econ)
☆23Updated 3 weeks ago
Alternatives and similar repositories for finmarkets
Users that are interested in finmarkets are comparing it to the libraries listed below
Sorting:
- Companion to publication "Understanding Jumps in High Frequency Digital Asset Markets". Contains scalable implementations of Lee / Myklan…☆18Updated last year
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- Implementation of PIN ( Probability of Informed trading) on A-Share daily public data (based on Yan Y, Zhang S. An improved estimation me…☆42Updated 5 years ago
- Code package to analyze high-frequency trading (HFT) races using financial-exchange message data, following Aquilina, Budish and O'Neill …☆48Updated 3 years ago
- ☆48Updated 7 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆15Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- ☆24Updated 5 years ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆57Updated 2 weeks ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆19Updated 3 years ago
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆15Updated 8 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆14Updated 2 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆17Updated 7 years ago
- Repo for HFT project in CMF☆29Updated 2 years ago
- Basic Limit Order Book functions☆22Updated 7 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Collection of Models related to market making☆17Updated 4 years ago
- Some codes used for the numerical examples proposed in https://hal.archives-ouvertes.fr/hal-01514987v2 and https://arxiv.org/abs/1705.014…☆23Updated 6 years ago
- ☆27Updated 3 months ago
- Advanced Risk and Portfolio Management Resources☆31Updated 6 years ago
- Dynamic delta hedging (DDH) is a trading strategy that involves hedging a non-linear position with linear instruments. Linear instruments…☆15Updated last year
- Package to build risk model for factor pricing model☆27Updated last year
- Fama-French models, idiosyncratic volatility, event study☆33Updated 3 years ago
- Dynamic portfolio optimization☆28Updated last year
- Baruch MFE program quant lab☆29Updated 7 years ago
- Baruch MFE MTH9894☆13Updated 8 years ago
- Hawkes with Latency☆20Updated 4 years ago
- Final Project for FINM33150, University of Chicago, Regression Analysis and Quantitative Trading Strategies☆11Updated 4 years ago
- ☆36Updated 4 years ago
- Zakamouline optimal delta hedging strategy python implementation.☆18Updated 2 years ago