hudson-and-thames / a-practitioners-guide-to-the-ONC-algorithmLinks
Code base for the practitioner's guide to the ONC algorithm paper published with the Journal of Financial Data Science
☆20Updated 2 years ago
Alternatives and similar repositories for a-practitioners-guide-to-the-ONC-algorithm
Users that are interested in a-practitioners-guide-to-the-ONC-algorithm are comparing it to the libraries listed below
Sorting:
- Kalman Filter, Smoother, and EM Algorithm for Python☆12Updated 2 years ago
- ☆13Updated 3 years ago
- ☆12Updated last year
- Hawkes with Latency☆20Updated 5 years ago
- A Python toolkit for high-frequency trade research.☆42Updated 7 years ago
- ☆12Updated 2 years ago
- Code package to analyze high-frequency trading (HFT) races using financial-exchange message data, following Aquilina, Budish and O'Neill …☆48Updated 4 years ago
- Implementation with a Jupyter Notebook of the VIX index modelization provided in its CBOE white paper.☆22Updated 6 years ago
- ☆36Updated 8 years ago
- ☆11Updated 10 years ago
- awesome-financial-networks☆39Updated 6 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆31Updated 5 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- Library for simulation and analysis of vanilla and exotic options☆34Updated 5 years ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆61Updated last week
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆33Updated 5 years ago
- ☆21Updated 3 years ago
- This project is to download and analyze cryptocurrency option data available on Deribit via a public API. Data are collected on an Ubuntu…☆10Updated 4 years ago
- ☆15Updated 10 years ago
- Example of order book modeling.☆58Updated 6 years ago
- Submission for the Optiver Challenge as part of the Hex Cambridge Hackathon in January 2021☆26Updated 3 years ago
- Bitmex market microstructure analytics☆23Updated 4 years ago
- ☆27Updated 6 years ago
- finance☆43Updated 8 years ago
- Quantitative finance and derivative pricing☆22Updated last month
- Basic Limit Order Book functions☆23Updated 7 years ago
- ☆22Updated 8 years ago
- Answers to the questions at the back of the chapters of Advances in Financial Machine Learning.☆23Updated 5 years ago
- Fast Limit order book implementation using AVL binary trees☆43Updated 9 years ago