hjstobart / msc-computational-financeLinks
A collection of assignment submissions from the 2021/22 MSc Computational Finance Course.
☆12Updated 3 years ago
Alternatives and similar repositories for msc-computational-finance
Users that are interested in msc-computational-finance are comparing it to the libraries listed below
Sorting:
- Limit Order Book Convolutional Neural Network trading bot☆14Updated 3 years ago
- Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB☆36Updated 4 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆17Updated 8 years ago
- ☆25Updated 10 years ago
- This was a university group project supported by the HSBC Artificial Intelligence team. It involved applying machine learning algorithms …☆14Updated 2 years ago
- ☆25Updated 5 years ago
- A log likelihood process for optimal entry / exit / stopping.☆14Updated 3 years ago
- ☆16Updated 3 years ago
- Literature survey of order execution strategies implemented in python☆44Updated 5 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- Custom Loss functions for asset return prediction with deep learning regression☆36Updated 3 years ago
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆25Updated 7 years ago
- Deep learning for limit order book trading and mid-price movement☆55Updated 5 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆92Updated 2 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆36Updated 6 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆29Updated 4 years ago
- ☆37Updated 3 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆39Updated 5 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆75Updated 5 years ago
- Backtest result archive for Momentum Trading Strategies☆67Updated 6 years ago
- Calibrates microprice model to BitMEX quote data☆63Updated 4 years ago
- Robust Market Making via Adversarial Reinforcement Learning☆53Updated 5 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆135Updated 7 years ago
- Some codes used for the numerical examples proposed in https://hal.archives-ouvertes.fr/hal-01514987v2 and https://arxiv.org/abs/1705.014…☆23Updated 6 years ago
- Submission for Optiver's 2023 ReadyTraderGo.☆26Updated 2 years ago
- High Frequency Trading Strategies☆49Updated 8 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆97Updated last year
- An optimal trading trajectory solver.☆37Updated 3 years ago
- Package to build risk model for factor pricing model☆28Updated last year
- ☆11Updated 2 years ago