Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.
☆25Jan 16, 2018Updated 8 years ago
Alternatives and similar repositories for priceprop
Users that are interested in priceprop are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Deep learning for price movement prediction using high frequency limit order data☆38Oct 8, 2018Updated 7 years ago
- A machine learning tool that implements the class of state-dependent Hawkes processes.☆34Jul 31, 2023Updated 3 years ago
- ☆14Nov 18, 2025Updated 9 months ago
- High-performance, concurrent, and lock-free matching engine written in Rust. Designed for ultra-low latency trading systems and scalable …☆19Apr 29, 2025Updated last year
- ☆15Oct 7, 2019Updated 6 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- Realized Volatility Forecasting modeling☆20May 5, 2017Updated 9 years ago
- Multidimensional LSTM for High-Frequency Time Series☆24Aug 9, 2022Updated 4 years ago
- Volume Weighted Average Price Optimal Execution☆44Mar 12, 2019Updated 7 years ago
- qzmq provides Q bindings for CZMQ, the high-level C binding for ØMQ☆22Feb 5, 2018Updated 8 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆19Sep 22, 2024Updated last year
- General solver for Hamilton-Jacobi-Bellman equations☆18Apr 23, 2017Updated 9 years ago
- Momentum Trading Assistant (MTA) is a python program designed to replace a Momentum Trader using the Interactive Brokers Trader Workstati…☆12Jan 12, 2026Updated 7 months ago
- My implementation of "Build a Stock-Tracking CLI with Async Streams in Rust" - The Actor Model☆10Sep 20, 2024Updated last year
- Implementing a medium freq trading strategy by estimating price impact via order flow.☆17Sep 21, 2020Updated 5 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- L3 Order Book and Matching Engine Implementaion in Java☆30Aug 5, 2021Updated 5 years ago
- Implementation of the paper <Model-based Reinforcement Learning for Predictions and Control for Limit Order Books (Wei et al., J.P. Morga…☆12Aug 22, 2023Updated 3 years ago
- Learning Hawkes Processes from a Handful of Events☆13Jul 6, 2023Updated 3 years ago
- Double Deep Q-Learning for Optimal Execution implementation☆10Apr 30, 2023Updated 3 years ago
- ☆13Aug 24, 2016Updated 10 years ago
- Public code for our paper https://ssrn.com/abstract=3958331☆26Dec 6, 2021Updated 4 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆15Jul 17, 2023Updated 3 years ago
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆186Sep 28, 2019Updated 6 years ago
- System for Using Random Forest Models to Predict S&P 500 Volatility - The Quant's Playbook @ Substack☆12Oct 27, 2023Updated 2 years ago
- Managed Database hosting by DigitalOcean • AdPostgreSQL, MySQL, MongoDB, Kafka, Valkey, and OpenSearch available. Automatically scale up storage and focus on building your apps.
- Implementing a comprehensive Quantitative Momentum Strategy to optimize portfolio allocation. The strategy integrates two key financial i…☆16Jul 29, 2023Updated 3 years ago
- A B-Spline approach to modelling the term structure of interest rate swaps.☆11Apr 10, 2020Updated 6 years ago
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆40Mar 30, 2024Updated 2 years ago
- ☆14Apr 1, 2024Updated 2 years ago
- An intuitive library tracking dates and timeseries in common using numpy arrays. -- https://sidorof.github.io/Thymus-timeseries/☆18Mar 16, 2024Updated 2 years ago
- ☆147Dec 8, 2022Updated 3 years ago
- This repository contains the experiments of our paper titled, "Ensembles of Localised Models for Time Series Forecasting" which is online…☆16Dec 2, 2021Updated 4 years ago
- Time-Dependent Hawkes Process for Predicting Retweet Dynamics (Kobayashi & Lambiotte, ICWSM 2016)☆17Dec 30, 2020Updated 5 years ago
- Julia package for scenario generation for stochastic programs with tail risk measure☆11Nov 16, 2022Updated 3 years ago
- Deploy open-source AI quickly and easily - Special Bonus Offer • AdRunpod Hub is built for open source. One-click deployment and autoscaling endpoints without provisioning your own infrastructure.
- Using Q-learning to better navigate orderbooks.☆23Apr 7, 2018Updated 8 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆104Apr 30, 2026Updated 4 months ago
- ☆42Aug 29, 2022Updated 4 years ago
- [Python Package] Code from 'The Elements of Hawkes Processes' Book☆32Sep 28, 2023Updated 2 years ago
- HAR-RV Model For Realized Volatility☆32Feb 21, 2016Updated 10 years ago
- Companion to publication "Understanding Jumps in High Frequency Digital Asset Markets". Contains scalable implementations of Lee / Myklan…☆17May 6, 2024Updated 2 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆37Jun 20, 2021Updated 5 years ago