felixpatzelt / pricepropLinks
Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.
☆24Updated 7 years ago
Alternatives and similar repositories for priceprop
Users that are interested in priceprop are comparing it to the libraries listed below
Sorting:
- Python package for a class of tractable SPDE models for limit order book modeling☆38Updated 4 years ago
- Code for the paper Volatility is (mostly) path-dependent☆71Updated last year
- ☆53Updated 4 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 7 years ago
- Time Series Prediction of Volume in LOB☆59Updated last year
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆97Updated 2 years ago
- Volume Weighted Average Price Optimal Execution☆42Updated 6 years ago
- Deep learning for price movement prediction using high frequency limit order data☆39Updated 7 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Updated 5 years ago
- OpenAI Gym Environment for Low-Latency Trading☆18Updated 7 years ago
- Research Repo (Archive)☆74Updated 5 years ago
- Models and programs developed as part of XTX Forecastin Challenge 2019☆27Updated 2 years ago
- Calibrates microprice model to BitMEX quote data☆62Updated 4 years ago
- SABR Implied volatility asymptotics☆25Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆123Updated 2 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Updated 4 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆97Updated 5 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated last week
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆36Updated 2 years ago
- ☆38Updated 4 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- 2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)☆18Updated 6 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Example of order book modeling.☆58Updated 6 years ago
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago
- Baruch MFE 2019 Spring☆43Updated 5 years ago
- Estimation of the lead-lag parameter from non-synchronous data.☆133Updated 9 months ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆70Updated last year
- ☆49Updated 7 years ago