leolle / simulateLinks
This is a finance factor model, risk model, portfolio optimization, strategies research library.
☆16Updated 7 years ago
Alternatives and similar repositories for simulate
Users that are interested in simulate are comparing it to the libraries listed below
Sorting:
- Risk estimation algorithms☆30Updated 7 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆92Updated 2 years ago
- High Frequency Trading☆111Updated 7 years ago
- tools for alpha research☆23Updated 7 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆38Updated 4 years ago
- ☆73Updated 3 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆134Updated 6 years ago
- Time Series Prediction of Volume in LOB☆58Updated last year
- ☆25Updated 7 years ago
- Volume Weighted Average Price Optimal Execution☆42Updated 6 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆30Updated 2 years ago
- Regime-Switching Model☆20Updated 8 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆115Updated 6 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆92Updated 4 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆33Updated last year
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆67Updated 5 months ago
- SABR Implied volatility asymptotics☆23Updated 5 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆25Updated 7 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆41Updated 7 years ago
- 2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)☆18Updated 5 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- Deep learning for price movement prediction using high frequency limit order data☆40Updated 7 years ago
- This repository shows the application of PCA technique for risk factor modelling of financial securities.☆20Updated 5 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆38Updated 5 years ago
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆126Updated 5 years ago
- Trend Prediction for High Frequency Trading☆43Updated 2 years ago
- Backtest result archive for Momentum Trading Strategies☆64Updated 6 years ago
- A library for portfolio optimization algorithms with python interface.☆30Updated 4 years ago
- A Survey of Multi-Factor Models☆40Updated 10 years ago