viai957 / Optimal-Portfolio-TransactionsLinks
We consider the execution of portfolio transactions with the aim of minimizing a combination of risk and transaction costs arising from permanent and temporary market impact. As an example, assume that you have a certain number of stocks that you want to sell within a given time frame. If you place this sell order directly to the market as it is…
☆41Updated last year
Alternatives and similar repositories for Optimal-Portfolio-Transactions
Users that are interested in Optimal-Portfolio-Transactions are comparing it to the libraries listed below
Sorting:
- An optimal trading trajectory solver.☆32Updated 3 years ago
- Python Financial ENGineering (PyFENG package in PyPI.org)☆167Updated last month
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆72Updated 5 years ago
- A collection of homeworks of market microstructure models.☆258Updated 7 years ago
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆130Updated last year
- CS7641 Team project☆96Updated 5 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆191Updated last year
- Portfolio optimization using Genetic algorithm.☆61Updated 4 years ago
- Solutions for selected exercises from Advances in Financial Machine Learning by Marcos Lopez De Prado☆73Updated 3 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Updated 4 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆100Updated 2 years ago
- Quantamental finance research with python☆153Updated 3 years ago
- ☆73Updated 4 years ago
- Implementation of the vanilla Deep Hedging engine☆293Updated 2 years ago
- To classify trades into buyer- and seller-initiated.☆151Updated 2 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆86Updated 3 years ago
- PortfolioLab is a python library that enables traders to take advantage of the latest portfolio optimisation algorithms used by professio…☆172Updated 3 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation …☆133Updated 6 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆221Updated 2 years ago
- Macrosynergy Quant Research☆155Updated this week
- Research Repo (Archive)☆75Updated 5 years ago
- Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.☆264Updated last month
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆176Updated last month
- Options and Option Strategies analytics for educational purpose using the Black-Scholes Model☆124Updated 3 years ago
- ☆130Updated 3 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆82Updated last year
- Documentation for QuantLib-Python☆113Updated this week
- Collection of notebooks and scripts related to financial engineering, quant-research and algo-trading.☆71Updated last year