maxe-team / maxe
Multi-Agent eXchange simulator developed at Oxford-Man Institute
☆61Updated 4 years ago
Alternatives and similar repositories for maxe:
Users that are interested in maxe are comparing it to the libraries listed below
- Gerber robust statistics for portfolio optimization☆57Updated 2 years ago
- ☆49Updated 4 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆60Updated 2 years ago
- Neural network local volatility with dupire formula☆76Updated 3 years ago
- ☆49Updated 4 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆35Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆118Updated last year
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆56Updated last year
- Code for the paper Volatility is (mostly) path-dependent☆60Updated last year
- Baruch MFE 2019 Spring☆39Updated 4 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
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆72Updated last month
- Material accompanying the MOSEK Portfolio Optimization Cookbook☆84Updated 8 months ago
- A machine learning tool that implements the class of state-dependent Hawkes processes.☆31Updated last year
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆32Updated 2 years ago
- mbt_gym is a module which provides a suite of gym environments for training reinforcement learning (RL) agents to solve model-based high-…☆157Updated last year
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 7 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆55Updated last year
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆80Updated 2 years ago
- An optimal trading trajectory solver.☆28Updated 3 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆70Updated 4 years ago
- Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)☆37Updated last year
- Hawkes with Latency☆20Updated 4 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆69Updated 3 months ago
- Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB☆36Updated 4 years ago
- A repository for simulating limit order book dynamics from historical data and using it to train a reinforcement learning agent to make m…☆31Updated 2 years ago
- Financial Portfolio Optimization Algorithms☆55Updated 10 months ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- Some implementations from the paper robust risk aware reinforcement learning☆35Updated 3 years ago