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:
- Code for the paper Volatility is (mostly) path-dependent☆71Updated last year
- 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
- Python package for a class of tractable SPDE models for limit order book modeling☆38Updated 4 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 7 years ago
- ☆53Updated 4 years ago
- Models and programs developed as part of XTX Forecastin Challenge 2019☆27Updated 2 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
- 2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)☆18Updated 6 years ago
- Deep learning for price movement prediction using high frequency limit order data☆39Updated 7 years ago
- ☆50Updated 5 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Updated 4 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆36Updated 2 years ago
- Advancing in Financial Machine Learning☆16Updated 5 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 years ago
- Research Repo (Archive)☆74Updated 5 years ago
- SABR Implied volatility asymptotics☆25Updated 5 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 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
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 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
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆31Updated 5 years ago
- Baruch MFE 2019 Spring☆44Updated 5 years ago
- ☆24Updated 5 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆97Updated 5 years ago
- Basic Limit Order Book functions☆23Updated 7 years ago
- three stochastic volatility model: Heston, SABR, SVI☆93Updated 6 years ago