joshuapjacob / almgren-chriss-optimal-execution
An optimal trading trajectory solver.
☆28Updated 2 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
- We consider the execution of portfolio transactions with the aim of minimizing a combination of risk and transaction costs arising from p…☆35Updated 7 months ago
- ☆47Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆116Updated last year
- Baruch MFE 2019 Spring☆36Updated 4 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆67Updated 4 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆28Updated last year
- Neural network local volatility with dupire formula☆75Updated 3 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆55Updated last year
- Time Series Prediction of Volume in LOB☆55Updated 9 months ago
- By means of stochastic volatility models☆43Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆75Updated 6 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆60Updated 2 years ago
- Code for the paper Volatility is (mostly) path-dependent☆59Updated 10 months ago
- Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB☆35Updated 3 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆65Updated 4 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆53Updated 2 weeks ago
- Semi-automatic analysis of a financial series using Python.☆11Updated 3 years ago
- my talk for credit suisse☆37Updated this week
- Delta hedging under SABR model☆21Updated 8 months ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆39Updated this week
- My Quant Research Papers (incl. Coding & Excel Examples)☆107Updated 2 months ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 6 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆151Updated 2 weeks ago
- Construction of local volatility surface by using SABR☆27Updated 7 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- Portfolio optimization with cvxopt☆37Updated last week
- Vanna-volga pricer for fx options☆9Updated 5 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆43Updated 4 years ago