huangzz119 / OptimalExecution_stochastic_controlLinks
This is for the capstone project "Optimal Execution of a VWAP order".
☆34Updated 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
Sorting:
- Literature survey of order execution strategies implemented in python☆44Updated 4 years ago
- High Frequency Trading Strategies☆45Updated 7 years ago
- High frequency trading algorithm for Bitmex☆23Updated 4 years ago
- High Frequency Jump Prediction Project☆36Updated 5 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆47Updated 5 years ago
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆56Updated 2 years ago
- Simulator of a basic order book flow and order execution☆18Updated 2 years ago
- ☆49Updated 4 years ago
- from for/if/else to my first option back-test function☆16Updated 4 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆30Updated last year
- Ornstein-Uhlenbeck process simulators and estimators☆32Updated 3 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 4 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆29Updated 3 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆18Updated 2 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆31Updated 3 years ago
- 多因子模型相关☆22Updated 3 years ago
- ☆25Updated 2 years ago
- High Frequency Analysis Based On Level-2 Data(Limit Order Book& Transaction Data)☆105Updated last year
- 实行gamma scalping策略时的期权组合选择工具☆15Updated 6 years ago
- public version of MLFINLAB from Hudson-Thames☆23Updated 3 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- 基于基因表达式规划算法的因子挖掘☆30Updated 3 years ago
- A Sharpe ratio optimised decoder-only TFT based Momentum Transformer and LSTM Deep Momentum Network trading model using FinBERT breaking …☆23Updated 2 years ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆14Updated last year
- Market making strategies and scientific papers☆13Updated last year
- Calibrates microprice model to BitMEX quote data☆56Updated 3 years ago
- my first factor-stock-selecting backtest function☆21Updated 4 years ago