factorpricingmodel / factor-pricing-model-risk-modelLinks
Package to build risk model for factor pricing model
☆27Updated last year
Alternatives and similar repositories for factor-pricing-model-risk-model
Users that are interested in factor-pricing-model-risk-model are comparing it to the libraries listed below
Sorting:
- ☆38Updated 4 years ago
- ☆53Updated 4 years ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆60Updated last month
- Dynamic portfolio optimization☆31Updated 2 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- Baruch MFE 2019 Spring☆44Updated 5 years ago
- ☆24Updated 5 years ago
- Collection of Models related to market making☆17Updated 4 years ago
- Time Series Prediction of Volume in LOB☆59Updated last year
- A Practical Guide to a Simple Data Stack.☆40Updated last year
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆74Updated 5 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Updated 4 years ago
- ☆123Updated 8 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆92Updated 2 years ago
- Delta hedging under SABR model☆43Updated last year
- ☆33Updated 3 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 7 years ago
- ☆34Updated 6 months ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆122Updated last year
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆69Updated 5 years ago
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆17Updated 7 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆37Updated 4 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆54Updated 4 years ago
- CS7641 Team project☆97Updated 5 years ago
- Mid price estimation in LOB using Markov model☆13Updated 3 years ago
- Orderflow trading bot based on BSI☆22Updated last year
- Code package to analyze high-frequency trading (HFT) races using financial-exchange message data, following Aquilina, Budish and O'Neill …☆48Updated 4 years ago
- A market making algorithm based on the Avellaneda Stoikov paper on Deribit derivatives exchange. A gradient boosted model is used for vol…☆23Updated 10 months ago
- Research Repo (Archive)☆74Updated 5 years ago