gaelwjl / ML_Optimal_Trading
Collection of numerical methods for high frequency data, in Python notebooks
☆13Updated 3 years ago
Alternatives and similar repositories for ML_Optimal_Trading:
Users that are interested in ML_Optimal_Trading are comparing it to the libraries listed below
- Market making strategies and scientific papers☆13Updated last year
- ☆12Updated 3 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 3 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆27Updated 10 months ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12Updated 3 years ago
- ☆18Updated 3 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆14Updated 3 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆39Updated 4 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆16Updated 2 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆24Updated 6 years ago
- A low frequency statistical arbitrage strategy☆19Updated 5 years ago
- Apply LASSO in High-Frequency-Trading☆9Updated 5 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆32Updated 5 years ago
- ☆13Updated 5 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆12Updated 2 years ago
- ☆21Updated 5 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 7 years ago
- ☆17Updated 4 years ago
- ☆17Updated 8 years ago
- ☆47Updated 3 years ago
- Stock risk premium prediction via FM/ EXT/ GBDT/ XGB/LBGM. Mengxuan Chen's graduation thesis at WHU.☆14Updated 5 years ago
- Building a High Frequency Trading Engine with Neural Networks☆12Updated 6 years ago
- High Frequency Trading bot for 2019 Traders at MIT, HFT Case. I placed 4th in the HFT competition (2nd overall) out of 120.☆18Updated 5 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- ☆15Updated 2 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆21Updated last year
- A Higher-order HMM with EM algo.☆15Updated 2 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 5 years ago
- High Frequency Jump Prediction Project☆35Updated 4 years ago