yc3566 / Optimal-Trade-Execution-Algorithm-Market-Impact-ModelLinks
2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)
☆18Updated 5 years ago
Alternatives and similar repositories for Optimal-Trade-Execution-Algorithm-Market-Impact-Model
Users that are interested in Optimal-Trade-Execution-Algorithm-Market-Impact-Model are comparing it to the libraries listed below
Sorting:
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- Deep learning for price movement prediction using high frequency limit order data☆40Updated 6 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆35Updated 5 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆20Updated 2 years ago
- Machine learning approach to high frequency trading, MLP & RNN used☆22Updated 9 years ago
- High Frequency Jump Prediction Project☆39Updated 5 years ago
- Volume Weighted Average Price Optimal Execution☆42Updated 6 years ago
- Market making strategies and scientific papers☆13Updated 2 years ago
- Trend Prediction for High Frequency Trading☆43Updated 2 years ago
- Literature survey of order execution strategies implemented in python☆44Updated 5 years ago
- High Frequency Trading bot for 2019 Traders at MIT, HFT Case. I placed 4th in the HFT competition (2nd overall) out of 120.☆19Updated 5 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆29Updated 4 years ago
- High Frequency Trading Strategies☆48Updated 8 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆32Updated 4 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆70Updated 9 years ago
- ☆19Updated 5 years ago
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago
- Building a High Frequency Trading Engine with Neural Networks☆12Updated 7 years ago
- Create a mid-price classifier for limit order books using a CNN and LSTM☆14Updated 5 years ago
- Reproduce the result of the paper "Deep Learning with Long Short-Term Memory Networks for Financial Market Prediction"☆19Updated 5 years ago
- Usage of policy gradient reinforcement learning to solve portfolio optimization problems (Tactical Asset Allocation).☆33Updated 6 years ago
- ☆52Updated 4 years ago
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆34Updated 4 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆68Updated 2 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆38Updated 4 years ago
- Regime-Switching Model☆19Updated 7 years ago
- Models and programs developed as part of XTX Forecastin Challenge 2019☆26Updated 2 years ago
- Deep learning for limit order book trading and mid-price movement☆55Updated 4 years ago
- Alpaca-based Order Book Inbalace Algorithm.☆12Updated 5 years ago