Baruch MFE 2019 Spring
☆45May 29, 2020Updated 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. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Baruch MFE MTH9894☆13Jun 4, 2017Updated 8 years ago
- Baruch course - Market Microstructure☆14Feb 2, 2016Updated 10 years ago
- A collection of homeworks of market microstructure models.☆285May 4, 2018Updated 7 years ago
- ☆11Dec 18, 2015Updated 10 years ago
- ☆25Dec 18, 2015Updated 10 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- Baruch MFE program quant lab☆31May 29, 2018Updated 7 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Mar 18, 2026Updated last month
- Mid price estimation in LOB using Markov model☆13May 11, 2022Updated 3 years ago
- ☆39Aug 2, 2021Updated 4 years ago
- A log likelihood process for optimal entry / exit / stopping.☆14Jun 15, 2022Updated 3 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆25Dec 9, 2017Updated 8 years ago
- ☆24Jan 26, 2020Updated 6 years ago
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆17May 26, 2017Updated 8 years ago
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Implementation of the rough volatility model and its calibration☆10Jul 11, 2020Updated 5 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆14Feb 2, 2023Updated 3 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18May 13, 2024Updated last year
- Derivation of analytical expressions of optimal quotes for market making in options.☆23Jun 24, 2022Updated 3 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆17Feb 1, 2020Updated 6 years ago
- ☆12Apr 17, 2021Updated 5 years ago
- Optimal high-frequency market making strategy☆27Nov 24, 2024Updated last year
- Submission for Optiver's 2023 ReadyTraderGo.☆26Mar 26, 2023Updated 3 years ago
- End-to-end encrypted cloud storage - Proton Drive • AdSpecial offer: 40% Off Yearly / 80% Off First Month. Protect your most important files, photos, and documents from prying eyes.
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13May 13, 2015Updated 10 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆26Dec 26, 2022Updated 3 years ago
- ☆131Dec 12, 2017Updated 8 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆17Jan 3, 2018Updated 8 years ago
- High Frequency Market Making☆625Sep 24, 2023Updated 2 years ago
- ☆16Apr 6, 2022Updated 4 years ago
- Final Project for FINM33150, University of Chicago, Regression Analysis and Quantitative Trading Strategies☆11Jul 7, 2021Updated 4 years ago
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆40Dec 17, 2025Updated 4 months ago
- This project is to monitor the arbitrage opportunity of stocks, options and futures every second based on Put-Call parity in Chinese stoc…☆19Oct 20, 2018Updated 7 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- This was a university group project supported by the HSBC Artificial Intelligence team. It involved applying machine learning algorithms …☆14Nov 13, 2023Updated 2 years ago
- An xVA quantitative library written in python using tensorflow☆18Apr 22, 2026Updated last week
- ☆68Apr 10, 2021Updated 5 years ago
- Affine Term-Structure Models: Theory and Implementation☆14Apr 6, 2020Updated 6 years ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Apr 15, 2022Updated 4 years ago
- Volume-Synchronized Probability of Informed Trading☆116Oct 13, 2013Updated 12 years ago
- 基于机器学习的多因子研究框架☆14Jun 22, 2020Updated 5 years ago