shubhamcodez / Market-Impact-Model
The model focuses on predicting the impact of trading activities on stock prices using order flow imbalance, trading volume and price change
☆19Updated 9 months ago
Alternatives and similar repositories for Market-Impact-Model:
Users that are interested in Market-Impact-Model are comparing it to the libraries listed below
- Portfolio optimization with cvxopt☆37Updated 3 weeks ago
- Package to build risk model for factor pricing model☆24Updated 6 months ago
- ☆35Updated 2 years ago
- Baruch MFE 2019 Spring☆37Updated 4 years ago
- ☆21Updated 5 years ago
- volatility arbitrage in Heston model☆41Updated last month
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆56Updated last week
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated 9 months ago
- Implements different approaches to tactical and strategic asset allocation☆30Updated last month
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆39Updated last week
- ☆20Updated 3 weeks ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆151Updated last month
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆75Updated 6 years ago
- Time Series Prediction of Volume in LOB☆56Updated 10 months ago
- This repository contains codes that were executed during my training in the CQF (Certificate in Quantitative Finance). The codes are orga…☆24Updated last year
- ☆44Updated 4 months ago
- Dispersion Trading using Options☆32Updated 7 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆69Updated 4 years ago
- This project implements an advanced pairs trading strategy using statistical arbitrage techniques. It leverages Bayesian optimization to …☆32Updated 7 months ago
- A financial trading method using machine learning.☆58Updated last year
- ☆57Updated last year
- Semi-automatic analysis of a financial series using Python.☆12Updated 3 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆79Updated last year
- Optimization of trading strategy hyperparameters with combinatorial cross validation and stress tesing☆31Updated last week
- ☆24Updated 2 weeks ago
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆62Updated 6 months ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- Code for the paper Volatility is (mostly) path-dependent☆59Updated 10 months ago
- ☆47Updated 3 years ago
- A collection of scripts for modelling financial markets & options in R.☆49Updated 3 weeks ago