electronicgore / finmarketsLinks
Financial Markets Microstructure course (UCPH, Masters in Econ)
☆24Updated 3 months 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
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆15Updated 3 years ago
- Code package to analyze high-frequency trading (HFT) races using financial-exchange message data, following Aquilina, Budish and O'Neill …☆47Updated 4 years ago
- Baruch MFE 2019 Spring☆44Updated 5 years ago
- ☆49Updated 7 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆15Updated 2 years ago
- Hawkes with Latency☆20Updated 4 years ago
- Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.☆16Updated 6 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆122Updated last year
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆43Updated 2 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…☆41Updated 5 years ago
- ☆18Updated 7 years ago
- Baruch MFE program quant lab☆30Updated 7 years ago
- We implement the rough Heston model☆15Updated last year
- ☆16Updated 5 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆15Updated 5 years ago
- Baruch course - Market Microstructure☆14Updated 9 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- Baruch MFE MTH9894☆13Updated 8 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- ☆34Updated 6 months ago
- Python Code for Quantitative Finance Papers☆44Updated last year
- Basic Limit Order Book functions☆23Updated 7 years ago
- Numerical Methods Lecture: This repository contains the material created during the lecture Numerical Methods for Mathematical Finance.☆49Updated last month
- Advanced Risk and Portfolio Management Resources☆33Updated 6 years ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆60Updated 3 weeks ago
- Heath–Jarrow–Morton model☆13Updated 4 years ago
- Package to build risk model for factor pricing model☆27Updated last year
- QuantMinds Rough Volatility Workshop lectures☆58Updated 3 months ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 7 years ago