useric / MTH9879-Market-Microstructure-ModelsLinks
Baruch MFE 2019 Spring
☆43Updated 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 6 years ago
- ☆55Updated 4 years ago
- Backtest result archive for Momentum Trading Strategies☆67Updated 6 years ago
- ☆39Updated 4 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆25Updated 8 years ago
- Baruch MFE MTH9894☆13Updated 8 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆75Updated 5 years ago
- CS7641 Team project☆97Updated 5 years ago
- Repo for HFT project in CMF☆29Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆124Updated 2 years ago
- Time Series Prediction of Volume in LOB☆60Updated last year
- Stochastic volatility models and their application to Deribit crypro-options exchange☆13Updated last year
- Delta hedging under SABR model☆44Updated last year
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆30Updated 2 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 7 years ago
- Package to build risk model for factor pricing model☆28Updated last year
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆97Updated 2 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 9 months ago
- Collection of Models related to market making☆17Updated 5 years ago
- Dynamic portfolio optimization☆31Updated 2 years ago
- Baruch course - Market Microstructure☆14Updated 10 years ago
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask spread. Further, outstanding del…☆10Updated 3 weeks ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 3 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆22Updated 3 years ago
- ☆54Updated 8 years ago
- Calibrates microprice model to BitMEX quote data☆63Updated 4 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆203Updated this week
- Baruch MFE program quant lab☆31Updated 7 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Updated 5 years ago
- ☆123Updated 8 years ago