huangzz119 / OptimalExecution_stochastic_control
This is for the capstone project "Optimal Execution of a VWAP order".
☆31Updated 5 years ago
Alternatives and similar repositories for OptimalExecution_stochastic_control:
Users that are interested in OptimalExecution_stochastic_control are comparing it to the libraries listed below
- High Frequency Trading Strategies☆41Updated 7 years ago
- Literature survey of order execution strategies implemented in python☆40Updated 4 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆43Updated 4 years ago
- High Frequency Jump Prediction Project☆34Updated 4 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- Simulator of a basic order book flow and order execution☆17Updated last year
- This is an internship project aiming to make Attribution Analysis for general equity funds in China market☆14Updated 6 years ago
- Ornstein-Uhlenbeck process simulators and estimators☆31Updated 3 years ago
- Vpin caculation and backtesting☆13Updated 5 years ago
- High frequency trading algorithm for Bitmex☆20Updated 4 years ago
- ☆15Updated 2 years ago
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆53Updated last year
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆21Updated last year
- Gerber robust statistics for portfolio optimization☆55Updated 2 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆12Updated 2 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆16Updated 2 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 3 years ago
- ☆47Updated 3 years ago
- 2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)☆17Updated 5 years ago
- Trend Prediction for High Frequency Trading☆37Updated 2 years ago
- ☆24Updated 9 years ago
- 基于基因表达式规划算法的因子挖掘☆28Updated 3 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆13Updated 3 years ago
- A low frequency statistical arbitrage strategy☆19Updated 5 years ago
- Baruch course - Market Microstructure☆12Updated 8 years ago
- Alpha研究平台☆18Updated 3 years ago
- ☆12Updated 3 years ago
- 多因子模型相关☆22Updated 3 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆27Updated 3 years ago