jktis / Portfolio-Optimization
Optimize portfolio allocation under transaction costs
☆9Updated 4 years ago
Alternatives and similar repositories for Portfolio-Optimization:
Users that are interested in Portfolio-Optimization are comparing it to the libraries listed below
- Market making strategies and scientific papers☆13Updated last year
- Basic Limit Order Book functions☆21Updated 7 years ago
- ☆21Updated 5 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆27Updated 5 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- Package to build risk model for factor pricing model☆24Updated 9 months ago
- ☆12Updated last year
- Collection of Models related to market making☆16Updated 4 years ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆17Updated last year
- ☆19Updated 4 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- Apply LASSO in High-Frequency-Trading☆9Updated 5 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Hawkes with Latency☆20Updated 4 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆18Updated 2 years ago
- experiments with crypto trading☆16Updated 9 months ago
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆8Updated 3 years ago
- Phd repo☆16Updated 2 years ago
- XTX Forecasting Challenge https://challenge.xtxmarkets.com/☆9Updated 5 years ago
- ☆17Updated 3 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆14Updated 3 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆13Updated 6 years ago
- ☆11Updated 9 years ago
- Python demo code for LOBSTER limit order book data☆12Updated 5 years ago
- Fama-French models, idiosyncratic volatility, event study☆31Updated 2 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆12Updated 2 years ago
- A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading☆17Updated 4 years ago
- By means of stochastic volatility models☆44Updated 5 years ago