joshuapjacob / almgren-chriss-optimal-executionLinks
An optimal trading trajectory solver.
☆37Updated 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.☆123Updated 2 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Updated 2 years ago
- ☆55Updated 4 years ago
- Time Series Prediction of Volume in LOB☆60Updated last year
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Updated 5 years ago
- Baruch MFE 2019 Spring☆43Updated 5 years ago
- Deep learning modelling of orderbooks☆102Updated 5 years ago
- Research Repo (Archive)☆74Updated 5 years ago
- ☆49Updated 7 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆75Updated 5 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆201Updated 2 weeks ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Updated 5 years ago
- Code for the paper Volatility is (mostly) path-dependent☆73Updated last year
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆97Updated 2 years ago
- Delta hedging under SABR model☆44Updated last year
- Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB☆36Updated 4 years ago
- CS7641 Team project☆97Updated 5 years ago
- Estimation of the lead-lag parameter from non-synchronous data.☆133Updated 9 months ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆106Updated 10 months ago
- Code for the paper "Hedging with linear regressions and neural networks"☆39Updated 4 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- Multi-Agent eXchange simulator developed at Oxford-Man Institute☆65Updated 5 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆126Updated 3 months ago
- ☆209Updated 2 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
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆140Updated last year
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 7 years ago
- A Python implementation of the rough Bergomi model.☆138Updated 7 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.☆216Updated last year