sduprey / optimal_transaction_execution
This entry contains two topics The first item is entirely based on the following paper: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2011-056.pdf It contains 2 MATLAB demonstrating script : DATA_preprocessing.m & VAR_modeling_script.m DATA_preprocessing.m uses the LOBSTER framework (https://lobster.wiwi.hu-berlin.de/) to preprocess hi…
☆34Updated 10 years ago
Related projects ⓘ
Alternatives and complementary repositories for optimal_transaction_execution
- In the high-frequency era of trading, orders of stocks can be executed under a millsecond. The information about the thousands of orders …☆10Updated 8 years ago
- 2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)☆16Updated 4 years ago
- Market Making / Stat Arb strategy☆60Updated 7 years ago
- a new simulator for statistical arbitrage☆14Updated 9 years ago
- Code for researching and backtesting pairs trading☆24Updated 14 years ago
- This project is to simulate the effects of high frequency trading on a stock. This is the code for the order book as well as 'traders' wh…☆25Updated 11 years ago
- Algorithmic trading platform for multiple assets☆35Updated 7 years ago
- Backtesting tool on tick data☆10Updated 7 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 5 years ago
- Python library for high frequency portfolio analysis, intraday backtesting and optimization☆65Updated 7 years ago
- ☆43Updated 7 years ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆65Updated 8 years ago
- ☆28Updated 8 years ago
- Deep learning for price movement prediction using high frequency limit order data☆38Updated 6 years ago
- Proof of concept Cointegration-Based spread trading strategy applied to the Foreign Exchange market☆35Updated 8 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆35Updated 3 years ago
- Marketmaker trading strategy☆26Updated 8 years ago
- Trading platform for high frequency data☆15Updated 10 years ago
- CVXPY Portfolio Optimization Sample☆43Updated 7 years ago
- ☆12Updated 9 years ago
- Models and programs developed as part of XTX Forecastin Challenge 2019☆25Updated last year
- ☆16Updated 3 years ago
- The strategy-backtesting repository will hold the event driven python backtester. This program will test algorithmic strategies and pro…☆17Updated 8 years ago
- ☆47Updated 7 years ago
- Reinforcement learning environment for trading☆15Updated 6 years ago
- Using Q-learning to better navigate orderbooks.☆21Updated 6 years ago
- Vpin caculation and backtesting☆13Updated 5 years ago
- Optimal Rebalancing Strategy Using Dynamic Programming for Institutional Portfolios☆22Updated 10 years ago
- MATLAB toolbox for high frequency portfolio analysis, intraday backtesting and optimization☆29Updated 8 years ago
- Volume Weighted Average Price Optimal Execution☆41Updated 5 years ago