yc3566 / Optimal-Trade-Execution-Algorithm-Market-Impact-ModelLinks
2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)
☆17Updated 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
- Market making strategies and scientific papers☆13Updated last year
- ☆19Updated 4 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆34Updated 5 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆18Updated 3 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆18Updated 2 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆15Updated 7 years ago
- Literature survey of order execution strategies implemented in python☆44Updated 4 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆14Updated 3 years ago
- Volume Weighted Average Price Optimal Execution☆42Updated 6 years ago
- Deep learning for price movement prediction using high frequency limit order data☆40Updated 6 years ago
- Apply LASSO in High-Frequency-Trading☆9Updated 6 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- Models and programs developed as part of XTX Forecastin Challenge 2019☆26Updated last year
- Hedging portfolios with reinforcement learning.☆35Updated 7 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- SABR Implied volatility asymptotics☆22Updated 5 years ago
- Reproduce the result of the paper "Deep Learning with Long Short-Term Memory Networks for Financial Market Prediction"☆19Updated 4 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆28Updated 5 years ago
- High Frequency Jump Prediction Project☆36Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- tools for alpha research☆23Updated 7 years ago
- These are trading results and arbitrage models from Southern China Center for Statistical Science (SC2S2), Sun Yat-sen University☆19Updated 6 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆47Updated 5 years ago
- ☆50Updated 4 years ago
- Implementation of code snippets and exercises in the book Machine Learning for Asset Managers written by Prof. Marcos López de Prado.☆16Updated 4 years ago
- Exercises in 'Advances in Financial Machine Learning' by Lopez de Prado☆3Updated 2 years ago
- Collection of numerical methods for high frequency data, in Python notebooks☆13Updated 4 years ago
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆21Updated 6 years ago