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…
☆34Feb 14, 2014Updated 12 years ago
Alternatives and similar repositories for optimal_transaction_execution
Users that are interested in optimal_transaction_execution are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- 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…☆27May 30, 2013Updated 13 years ago
- Python demo code for LOBSTER limit order book data☆13Dec 19, 2019Updated 6 years ago
- In the high-frequency era of trading, orders of stocks can be executed under a millsecond. The information about the thousands of orders …☆10Mar 30, 2016Updated 10 years ago
- Programming Test☆13Aug 17, 2015Updated 10 years ago
- Python library for high frequency portfolio analysis, intraday backtesting and optimization☆70Aug 8, 2017Updated 8 years ago
- Serverless GPU API endpoints on Runpod - Get Bonus Credits • AdSkip the infrastructure headaches. Auto-scaling, pay-as-you-go, no-ops approach lets you focus on innovating your application.
- Limit order book model with Poissonian order flow.☆10Jan 2, 2018Updated 8 years ago
- HFTrader is fully automated high frequency trading system☆97Dec 12, 2012Updated 13 years ago
- Machine learning approach to high frequency trading, MLP & RNN used☆22Jun 22, 2016Updated 9 years ago
- High Fidelity Energy Storage Dispatch in Production Costing Model☆11Jun 5, 2015Updated 11 years ago
- Predicting a Stock Price Using a Genetic Algorithm☆16Feb 8, 2018Updated 8 years ago
- ☆28Apr 16, 2015Updated 11 years ago
- EtherDelta public API☆10Jun 14, 2017Updated 8 years ago
- 关于书《强化学习第二版》(作者Richard S. Sutton)每章节的代码实现(matlab版)☆17Nov 6, 2019Updated 6 years ago
- Apply different deep learning models to limit order book.☆12Mar 6, 2018Updated 8 years ago
- Managed Database hosting by DigitalOcean • AdPostgreSQL, MySQL, MongoDB, Kafka, Valkey, and OpenSearch available. Automatically scale up storage and focus on building your apps.
- R package for high frequency trading (HFT) backtests, intraday portfolio analysis and portfolio optimization.☆16Feb 8, 2016Updated 10 years ago
- ☆40Aug 15, 2017Updated 8 years ago
- Python library with C++ extensions for simulation, compensator, log-likelihood and intensity function computation for a multivariate Hawk…☆10Sep 25, 2017Updated 8 years ago
- 2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)☆19Dec 11, 2019Updated 6 years ago
- The solidity code for the SIFT smart contract.☆11Mar 12, 2018Updated 8 years ago
- Implementation in Matlab☆13Jul 9, 2020Updated 5 years ago
- This is a quickly written utility that generates a binary tree containing a summation of the nodes below it and a verifier hash. Copyrigh…☆24Nov 17, 2025Updated 6 months ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆41Nov 21, 2019Updated 6 years ago
- open testbench for control and optimization methods for the energy management of a simple solar home☆19Jul 2, 2021Updated 4 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- R package for fitting the partially cointegrated model☆15Feb 26, 2023Updated 3 years ago
- ☆17Mar 23, 2022Updated 4 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆20Dec 8, 2022Updated 3 years ago
- Adaptation of Monte Carlo and SARSA algorithms (Reinforcement Learning) for learning the policy of sellers/ buyers in stock market☆12Jul 23, 2018Updated 7 years ago
- Volume-Synchronized Probability of Informed Trading☆116Oct 13, 2013Updated 12 years ago
- Este repositorio proporciona una plantilla HTML con etiquetas de metadatos SEO para mejorar la visibilidad y el ranking en motores de bús…☆14Apr 15, 2024Updated 2 years ago
- ☆11May 24, 2015Updated 11 years ago
- Partial JSON parser extracted from OpenAI's vendored version.☆15Jul 18, 2025Updated 10 months ago
- WARNING: This repository is no longer maintained This repository will not be updated. The repository will be kept available in read-only…☆11May 26, 2019Updated 7 years ago
- GPU virtual machines on DigitalOcean Gradient AI • AdGet to production fast with high-performance AMD and NVIDIA GPUs you can spin up in seconds. The definition of operational simplicity.
- Basic set of utilities for streaming real time trade and limit order book event data☆14May 20, 2022Updated 4 years ago
- Scala OrderBook Reconstructor for high-frequency order-flow data☆15Aug 27, 2023Updated 2 years ago
- Learn how to build a socially responsible portfolio☆11May 26, 2019Updated 7 years ago
- Implementing features from "Advances in Financial Machine Learning" by Marcos López del Prado in a financial algorithm using Enigma Catal…☆11Jul 13, 2020Updated 5 years ago
- Optimal Rebalancing Strategy Using Dynamic Programming for Institutional Portfolios☆22May 3, 2014Updated 12 years ago
- Algorithmic Trading with Machine Learning☆15Sep 26, 2015Updated 10 years ago
- The project simulates a generic agent based market model. The aim is to explore intimately, by simulation, the process of price formation…☆71Mar 29, 2015Updated 11 years ago