gaelwjl / ML_Optimal_TradingLinks
Collection of numerical methods for high frequency data, in Python notebooks
☆13Updated 4 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
Sorting:
- Market making strategies and scientific papers☆14Updated 2 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆28Updated 4 years ago
- ☆12Updated 4 years ago
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆17Updated 2 years ago
- ☆24Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- My first high-frequency trading strategy using machine learning☆19Updated 3 years ago
- The source code for the paper☆24Updated 2 years ago
- my first factor-stock-selecting backtest function☆23Updated 5 years ago
- from for/if/else to my first option back-test function☆20Updated 5 years ago
- Optimal high-frequency market making strategy☆24Updated last year
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- High Frequency Market Making: Optimal Quoting☆13Updated 2 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆35Updated 6 years ago
- Develop about 200 alpha factors from securities report etc, Grid Search/Random Search/Particle Swarm Optimization to improve factors perf…☆22Updated 7 years ago
- Trend Prediction for High Frequency Trading☆43Updated 2 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆29Updated 7 years ago
- In this repository, the goal is to predict the tick direction of a stock based on its current order book and trade data. A LSTM Neural Ne…☆21Updated 4 years ago
- SABR Implied volatility asymptotics☆24Updated 5 years ago
- I use a LSTM ( long short term memory model) model to predict the fluctuations of VIX index ( the index of 50ETF options), and trade t…☆13Updated 6 years ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Updated 3 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆22Updated 3 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.☆19Updated 6 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆19Updated 2 years ago
- High Frequency Trading Strategies☆48Updated 8 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Updated 4 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 4 years ago
- Alpha mining with DEAP-based genetic programming.☆11Updated 2 years ago
- High Frequency Jump Prediction Project☆39Updated 5 years ago