FineFinance FinancialEngineerLab
FinancialEngineerLab
/ levmarq - Levenberg-Marquardt in plain C
Created
October 16, 2022 23:49
— forked from rbabich/ levmarq - Levenberg-Marquardt in plain C
A simple implementation of the Levenberg-Marquardt algorithm in plain C
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| This file (with a leading space) exists so that the gist has a sensible name, rather than "LICENSE." |
FinancialEngineerLab
/ Execution_Limit_MarketOrder.ipynb
Created
July 13, 2022 23:56
— forked from sebjai/Execution_Limit_MarketOrder.ipynb
Implementation of optimal execution using limit and market orders from Chap 8.5 of Algorithmic and High-Frequency Trading by Cartea, Jaimungal, & Penalva (2015) Cambridge University Press
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FinancialEngineerLab
/ short_term_alpha.ipynb
Created
November 12, 2021 14:21
— forked from sebjai/short_term_alpha.ipynb
Market Making in Short-Term Alpha (Chapter 10.4.2 of Algorithmic and High-Frequency Trading by Cartea, Jaimungal, Penalva, published by Cambridge University Press)
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FinancialEngineerLab
/ TargetPercent_MarketSpeed.ipynb
Created
November 12, 2021 14:20
— forked from sebjai/TargetPercent_MarketSpeed.ipynb
Optimal execution with a percentage of volume target (Chap 9.2 of Algorithmic and High-Frequency Trading (c) Cartea, Jaimungal, & Penalva 2015 Cambridge University Press)
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FinancialEngineerLab
/ OrderFlow.ipynb
Created
November 12, 2021 14:19
— forked from sebjai/OrderFlow.ipynb
Optimal trading with order-flow and short-term alpha
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FinancialEngineerLab
/ PriceLimitSim.ipynb
Created
November 12, 2021 14:19
— forked from sebjai/PriceLimitSim.ipynb
Algo Trading Book Price Limiter (Chapter 7.2 of of Algorithmic and High-Frequency Trading by Cartea, Jaimungal, Penalva, published by Cambridge University Press)
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FinancialEngineerLab
/ STA4505-FPCA.ipynb
Created
November 12, 2021 14:18
— forked from sebjai/STA4505-FPCA.ipynb
STA4505-FPCA
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FinancialEngineerLab
/ Liquidation_Permanent_Price_Impact.ipynb
Created
November 12, 2021 14:18
— forked from sebjai/Liquidation_Permanent_Price_Impact.ipynb
Optimal Execution with linear and non-linear impact. Chapter 6 of Algorithmic and High-Frequency Trading (c) Cartea, Jaimungal, & Penalva, 2015 Cambridge University Press
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