This is for the capstone project "Optimal Execution of a VWAP order".
☆42Nov 21, 2019Updated 6 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. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Literature survey of order execution strategies implemented in python☆46Jul 24, 2020Updated 6 years ago
- High Frequency Trading Strategies☆49Aug 14, 2017Updated 8 years ago
- Simulator of a basic order book flow and order execution☆18Mar 22, 2023Updated 3 years ago
- Volume Weighted Average Price Optimal Execution☆44Mar 12, 2019Updated 7 years ago
- 2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)☆19Dec 11, 2019Updated 6 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Vpin caculation and backtesting☆14Aug 16, 2019Updated 6 years ago
- High frequency trading algorithm for Bitmex☆22Jun 22, 2020Updated 6 years ago
- 两家交易所做比特币的高频对冲☆18Dec 5, 2019Updated 6 years ago
- High Frequency Analysis Based On Level-2 Data（Limit Order Book& Transaction Data)☆122May 20, 2024Updated 2 years ago
- Implementation of a Bayesian-style market maker in the vein of 'Intelligent Market-Making in Artificial Financial Markets' by Sanmay Das☆110Oct 16, 2015Updated 10 years ago
- An algorithmic trading robot written in Python.☆27Jun 4, 2017Updated 9 years ago
- Analysis of High Frequency Trading on Bitcoin exchanges☆174Aug 21, 2017Updated 8 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆49Apr 9, 2020Updated 6 years ago
- Ornstein-Uhlenbeck process simulators and estimators☆32Oct 19, 2021Updated 4 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Apply different deep learning models to limit order book.☆13Mar 6, 2018Updated 8 years ago
- Collection of Models related to market making☆18Jan 25, 2021Updated 5 years ago
- High Frequency Market Making☆641Sep 24, 2023Updated 2 years ago
- ☆133Dec 12, 2017Updated 8 years ago
- We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cos…☆11Apr 8, 2020Updated 6 years ago
- ☆11Mar 19, 2018Updated 8 years ago
- Limit Order Book Convolutional Neural Network trading bot☆14Jul 24, 2022Updated 4 years ago
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆71Mar 19, 2023Updated 3 years ago
- Optimal high-frequency market making strategy☆29Nov 24, 2024Updated last year
- Virtual machines for every use case on DigitalOcean • AdGet dependable uptime with 99.99% SLA, simple security tools, and predictable monthly pricing with DigitalOcean's virtual machines, called Droplets.
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆16May 2, 2019Updated 7 years ago
- ☆15Feb 7, 2021Updated 5 years ago
- The Interactive Frontend Built for Aioquant.☆13May 11, 2022Updated 4 years ago
- Machine Learning Algorithms For VWAP Prediction☆52Dec 29, 2018Updated 7 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆99Jan 1, 2021Updated 5 years ago
- Baruch MFE MTH9894☆13Jun 4, 2017Updated 9 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆26Dec 9, 2017Updated 8 years ago
- Tutorials about Machine Learning and Deep Learning☆29Nov 9, 2018Updated 7 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆155May 9, 2020Updated 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.
- Exploring Optimal Order Execution in Simulated Limit Order Books☆20Dec 8, 2022Updated 3 years ago
- Code to support my Master's thesis☆22Sep 10, 2023Updated 2 years ago
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆275Apr 12, 2022Updated 4 years ago
- Asynchronous driven quantitative trading framework.☆15May 14, 2023Updated 3 years ago
- Machine learning approach to high frequency trading, MLP & RNN used☆22Jun 22, 2016Updated 10 years ago
- Stochastic local volatility model calibration☆20Apr 23, 2021Updated 5 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆31Aug 29, 2020Updated 5 years ago