useric / MTH9879-Market-Microstructure-ModelsLinks
Baruch MFE 2019 Spring
☆40Updated 5 years ago
Alternatives and similar repositories for MTH9879-Market-Microstructure-Models
Users that are interested in MTH9879-Market-Microstructure-Models are comparing it to the libraries listed below
Sorting:
- ☆24Updated 5 years ago
- ☆52Updated 4 years ago
- Baruch MFE MTH9894☆13Updated 8 years ago
- Baruch course - Market Microstructure☆14Updated 9 years ago
- ☆36Updated 4 years ago
- Collection of Models related to market making☆17Updated 4 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆24Updated 7 years ago
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆72Updated 5 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 5 months ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆32Updated 5 years ago
- Dynamic portfolio optimization☆28Updated last year
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask credit. Further, outstanding del…☆10Updated 2 years ago
- Calibrates microprice model to BitMEX quote data☆61Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- Package to build risk model for factor pricing model☆27Updated last year
- Repo for HFT project in CMF☆29Updated 2 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆19Updated 3 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- Surface SVI parameterisation and corresponding local volatility☆50Updated 5 years ago
- Time Series Prediction of Volume in LOB☆58Updated last year
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆12Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆27Updated last year
- CS7641 Team project☆96Updated 5 years ago
- Basic Limit Order Book functions☆22Updated 7 years ago
- Baruch MFE program quant lab☆29Updated 7 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆37Updated 5 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆90Updated 2 years ago