thabelang Goto Github PK
Type: User
thabelang's Projects
algorithms-sedgewick-wayne
Solutions to all the exercises of the Algorithms book by Robert Sedgewick and Kevin Wayne
atp-world-tour-tennis-data
Using Python to scrape ATP World Tour tennis data
avellanedastoikovlob
Code repository for my master degree thesis "Estimation of the Avellaneda-Stoikov model in limit order book markets"
emv-card-simulator
JavaCard implementation of an EMV card for payment terminal testing
football-prediction-by-bayesian-method
Established Bayesian models and leveraged historical data to predict home and away teams’ performance. Achieved over 80% prediction accuracy of winning percentage and 53% of the goal prediction.
har-rv
A python-based implementation of the HAR model to forecast realized volatility on SPY.
hft-in-a-limit-order-book
Replicating Avellaneda & Stoikov's HFT in LOB paper. Calibrated to sample L2 book data from LOBSTER
hft-intradayvol-estimation
Intraday volatility estimation using High-Frequency Financial Data
hyperliquid-basic-trend
basic trend following strategy for the crypto exchange hyperliquid
intraday-volatility-estimation-from-high-frequency-data
Financial Econometrics project
isac
Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning
kalman-and-bayesian-filters-in-python
Kalman Filter book using Jupyter Notebook. Focuses on building intuition and experience, not formal proofs. Includes Kalman filters,extended Kalman filters, unscented Kalman filters, particle filters, and more. All exercises include solutions.
optimal-hft-guilbaud-pham
Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Guilbaud and Pham.
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