jacklee1792 / imcp23
IMC Prosperity 2023 Code
☆7Updated last year
Related projects: ⓘ
- This repository contains our solution to the IMC Prosperity Challenge☆25Updated last year
- My IMC Prosperity 2 code (9th place)☆31Updated 4 months ago
- Utilities for back testing code related to the IMC prosperity challenge 2023.☆41Updated last year
- Stanford Cardinal's algorithms (Overall Rank 2) in IMC Prosperity 2023☆131Updated last year
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆49Updated last year
- ☆46Updated 7 years ago
- SVI volatility surface model and an example of China 50ETF option☆56Updated 4 years ago
- CS7641 Team project☆80Updated 4 years ago
- ☆21Updated 2 years ago
- A collection of homeworks of market microstructure models.☆160Updated 6 years ago
- Detailed write-ups for manual trading challenges in IMC Prosperity 2☆18Updated 4 months ago
- Package based on the textbooks: Advances in Financial Machine Learning and Machine Learning for Asset Managers, by Marcos Lopez de Prado.☆24Updated 4 years ago
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆24Updated 5 months ago
- Baruch MFE 2019 Spring☆28Updated 4 years ago
- Code for the IMC-prosperity competition.☆25Updated last year
- Implemented some mathematical processings used in the Barra risk model☆20Updated last year
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆157Updated last year
- ☆34Updated this week
- Submission for Optiver's 2023 ReadyTraderGo.☆21Updated last year
- High-frequency statistical arbitrage☆127Updated last year
- three stochastic volatility model: Heston, SABR, SVI☆80Updated 5 years ago
- Personal Project that implements a variety of HFT strategies in C++☆60Updated 3 years ago
- Backtester for IMC Prosperity 2 algorithms☆49Updated 4 months ago
- In this repository, an event-driven backtester is implemented based on QuantStart articles. The backtester is programmed in Python featur…☆49Updated 3 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆86Updated last year
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆36Updated 2 years ago
- IMC Prosperity 2 algorithm visualizer☆43Updated 4 months ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆94Updated 3 months ago
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆11Updated 10 months ago
- ☆41Updated last year