joshuapjacob / almgren-chriss-optimal-executionLinks
An optimal trading trajectory solver.
☆31Updated 3 years ago
Alternatives and similar repositories for almgren-chriss-optimal-execution
Users that are interested in almgren-chriss-optimal-execution are comparing it to the libraries listed below
Sorting:
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Time Series Prediction of Volume in LOB☆57Updated last year
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G …☆72Updated 5 years ago
- Deep learning modelling of orderbooks☆97Updated 4 years ago
- CS7641 Team project☆97Updated 5 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆88Updated 2 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆87Updated 7 months ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆30Updated 5 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆86Updated 4 years ago
- Volume-Synchronized Probability of Informed Trading☆114Updated 11 years ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆188Updated last year
- Notes on Advances in Financial Machine Learning☆80Updated 6 years ago
- ☆52Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- Some codes used for the numerical examples proposed in https://hal.archives-ouvertes.fr/hal-01514987v2 and https://arxiv.org/abs/1705.014…☆23Updated 6 years ago
- Delta hedging under SABR model☆34Updated last year
- ☆73Updated 3 years ago
- Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB☆36Updated 4 years ago
- ☆117Updated 7 years ago
- Research Repo (Archive)☆75Updated 4 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆49Updated 5 years ago
- ☆203Updated 2 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 3 years ago
- High-frequency trading in a limit order book☆60Updated 6 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆67Updated last year
- A collection of homeworks of market microstructure models.☆255Updated 7 years ago
- Models and programs developed as part of XTX Forecastin Challenge 2019☆26Updated 2 years ago
- Code for the paper "Hedging with linear regressions and neural networks"☆37Updated 4 years ago