☆12Dec 22, 2023Updated 2 years ago
Alternatives and similar repositories for Parametric_Optimal_Execution_ML
Users that are interested in Parametric_Optimal_Execution_ML are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Basic Limit Order Book functions☆23Apr 4, 2018Updated 7 years ago
- Final Project for FINM33150, University of Chicago, Regression Analysis and Quantitative Trading Strategies☆11Jul 7, 2021Updated 4 years ago
- Application of Markov Chain in Finance☆16Jun 29, 2021Updated 4 years ago
- Unbiased Deep Learning based Solvers for parametric PDEs☆11Oct 11, 2021Updated 4 years ago
- Fractional Brownian Motion package☆11Jun 24, 2022Updated 3 years ago
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆19Aug 6, 2020Updated 5 years ago
- ☆12Apr 17, 2021Updated 4 years ago
- Deep multistep methods to solve BSDEs of first and second order for the approximation of PDE solutions☆21May 29, 2020Updated 5 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆16Sep 25, 2021Updated 4 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 3 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Nov 12, 2020Updated 5 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆18Jun 10, 2022Updated 3 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Sep 29, 2017Updated 8 years ago
- ☆16Jul 17, 2020Updated 5 years ago
- ☆15Apr 6, 2022Updated 3 years ago
- ☆17Nov 17, 2021Updated 4 years ago
- A log likelihood process for optimal entry / exit / stopping.☆14Jun 15, 2022Updated 3 years ago
- Volatility models for stock prices using deep learning and mixture models.☆16Aug 20, 2022Updated 3 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Jul 28, 2020Updated 5 years ago
- Dockerized IB Trader Workstation (TWS)☆30Apr 23, 2020Updated 5 years ago
- ☆22Apr 1, 2022Updated 3 years ago
- Implementation of the [Hierarchical (Sig-Wasserstein) GAN] algorithm for large dimensional Time Series Generation: https://doi.org/10.390…☆17Nov 28, 2022Updated 3 years ago
- Modelling the implicit volatility, using multi-factor statistical models.☆22Apr 22, 2025Updated 11 months ago
- ☆28Aug 26, 2024Updated last year
- ☆26Mar 23, 2025Updated last year
- ☆21Nov 4, 2022Updated 3 years ago
- Full Python implementation of the Heston pricing algorithm developed in the article by Leif Anderson and Mark Lake in their article Robus…☆22Jun 28, 2020Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Dec 26, 2022Updated 3 years ago
- Repository attached to the paper with the same name.☆21Jun 15, 2021Updated 4 years ago
- A model simulation shows how pairs trading could be used for two S&P500 traded stocks. It proofs that the strategy is successful on real…☆27Sep 9, 2020Updated 5 years ago
- SABR Implied volatility asymptotics☆25May 22, 2020Updated 5 years ago
- ☆25Dec 18, 2015Updated 10 years ago
- ☆22Jun 20, 2018Updated 7 years ago
- Extended Mail Catcher with web-GUI and advanced filtering for remote and big environments☆10Jun 10, 2021Updated 4 years ago
- Code of paper "Stock Price Prediction Incorporating Market Style Clustering" published in Cognitive Computation.☆26Aug 6, 2021Updated 4 years ago
- Limit Orderbook Replay/Analysis Library☆10Nov 19, 2018Updated 7 years ago
- Python template for poetry packaging and dependency manager.☆12Jun 26, 2023Updated 2 years ago
- ☆38May 23, 2024Updated last year
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Jul 16, 2023Updated 2 years ago