useric / MTH9879-Market-Microstructure-Models
Baruch MFE 2019 Spring
☆39Updated 4 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
- ☆49Updated 4 years ago
- ☆21Updated 5 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- Package to build risk model for factor pricing model☆24Updated 8 months ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆21Updated 7 years ago
- Backtest result archive for Momentum Trading Strategies☆52Updated 6 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆71Updated 4 years ago
- Time Series Prediction of Volume in LOB☆57Updated 11 months ago
- Baruch MFE MTH9894☆12Updated 7 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆14Updated 11 months ago
- ☆43Updated 5 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆79Updated 2 years ago
- ☆31Updated 3 years ago
- Delta hedging under SABR model☆27Updated 10 months ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- ☆112Updated 7 years ago
- Surface SVI parameterisation and corresponding local volatility☆45Updated 4 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆9Updated last month
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated 11 months ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆41Updated this week
- Package based on the textbooks: Advances in Financial Machine Learning and Machine Learning for Asset Managers, by Marcos Lopez de Prado.☆25Updated 4 years ago
- SVI volatility surface model and an example of China 50ETF option☆65Updated 4 years ago
- ☆50Updated 7 years ago
- Research Repo (Archive)☆73Updated 4 years ago
- 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
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆70Updated last year