yc3566 / Optimal-Trade-Execution-Algorithm-Market-Impact-Model
2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)
☆16Updated 4 years ago
Related projects ⓘ
Alternatives and complementary repositories for Optimal-Trade-Execution-Algorithm-Market-Impact-Model
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 5 years ago
- Deep learning for price movement prediction using high frequency limit order data☆38Updated 6 years ago
- Market making strategies and scientific papers☆12Updated last year
- Stock Price Prediction with LSTM and Trading Strategy with Reinforcement Learning☆12Updated 5 years ago
- ☆20Updated 4 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆30Updated 5 years ago
- Repo for HFT project in CMF☆26Updated last year
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 3 years ago
- Models and programs developed as part of XTX Forecastin Challenge 2019☆25Updated last year
- Collection of Models related to market making☆14Updated 3 years ago
- Trading Strategy on S&P500 with different method (Linear Regression, XGBOOST, LSTM, HMM☆10Updated 4 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆22Updated last year
- Regime-Switching Model☆17Updated 7 years ago
- A low frequency statistical arbitrage strategy☆18Updated 5 years ago
- Volume Weighted Average Price Optimal Execution☆41Updated 5 years ago
- Literature survey of order execution strategies implemented in python☆38Updated 4 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 6 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆15Updated last year
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆30Updated 4 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆21Updated last year
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆43Updated 4 years ago
- This is the final project of Statistical Arbitrage course and it aims to apply pairs trading in high frequency data to realize auto-tradi…☆18Updated 6 years ago
- Trend Prediction for High Frequency Trading☆38Updated last year
- High Frequency Jump Prediction Project☆34Updated 4 years ago
- ☆26Updated 3 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.☆17Updated 5 years ago
- Stock risk premium prediction via FM/ EXT/ GBDT/ XGB/LBGM. Mengxuan Chen's graduation thesis at WHU.☆12Updated 4 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 6 years ago
- ☆18Updated 4 years ago