financialengineerlab Goto Github PK

machine-learning-for-trading

Code for Machine Learning for Algorithmic Trading, 2nd edition.

market-making-backtest

algo trading backtesting on BitMEX

marketmaker

A prototype for market maker

martinwiddicks_py

financial engineering projects fin514 - complex derivatives pricing, Monte Carlo simulations, binomial tree modeling, FD(cn, explict) methods, PDE derivation

mathfinancebox

matplotlib-cpp

Extremely simple yet powerful header-only C++ plotting library built on the popular matplotlib

mc

Monte-Carlo simulations for option pricing and greeks computation using the Black-Scholes and Heston models

mcwithws-cpp

Monte carlo simulation with Web sockets

micromakesbig_1

Replication of A Stochastic Model for Order Book Dynamics by Cont, Stoikov, and Talreja, 2010

micromakesbig_2_vpin2

micromakesbig_temp

The world is now at a zone where retail traders are overpowered by the use of High frequency traders or traders working with algorithms to increase there profits. Having an experience of about 2 years in Trading, I have always fascinated by the concept of algorithmic trading. Thus gave a try on algo-trading.

microstructure

MicroStructure is a module that, through the use of pandas, allows for the easy analysis of market microstructure.It imports and steps through order data, reconstructs the order book, and then runs package and user supplied algorithms on the data,producing pandas DataFrames containing the results at tick-resolution.This is primarily a vessel for implementing the algorithms discussed in the literature on market microstructure. I hope to add algorithms as time goes on.

ml-quant

ML in quant models

mmlp

modern-cpp-features

A cheatsheet of modern C++ language and library features.

moderncompufinance-cpp

Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley, 2021)

modernescppsource

monte-carlo-mpvsmpi

Sequential, multithreaded and parallel implementation of Monte Carlo method with the use of modern C++ and OpenMP/OpenMPI (CPU) and CUDA (GPU).

mse448project

Market Making / Stat Arb strategy

msmf-bootstrapping-spot-rate-yield-curve

mth9875_volatility_surface

This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface

multifactor-rate-modelling

multimodelpricer

Pricing various options (vanilla, spread, binary) using Monte-Carlo methods in different models (BS, Heston, SABR) An interesting functionality of this program is that the model can be specified in the pricing function.

my_vitis

fft2d and so on

myexcellib

Excel Addin with Quantitative Finance UDFs with F# and ExcelDna

neural_locvol

new_org

nn_calibration_stochastic_local_volatility

nth-to-default-cds-basket-py

nthtodefaultbasquetcds-copula-cpp