gaoyuanyuan,github

alphaengine

alphatrading

An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implement APT model, BARRA's risk model and dynamic multi-factor model in this project.

arbfreeiv-vae

Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.

avellaneda-stoikov

Avellaneda-Stoikov HFT market making algorithm implementation

code

Golub, Glattfelder and Olsen, ''The Alpha Engine: Designing an Automated Trading Algorithm''

ctpwrapper

上海期货交易所CTP接口 Shanghai Future CTP Interface CTP 6.3.15 Python API Wrapper

dataanalysis

Here I will store some of my research work done on the data analysis.

deepreinforcementlearning

A replica of the AlphaZero methodology for deep reinforcement learning in Python

fbr-cn

Fooled by Randomness Chinese Version

heston-model-calibration

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.

microprice

mth9879-market-microstructure-models

A collection of homeworks of market microstructure models.

numerical-methode-for-finance

This project consists in the implementation of a Neural Network using TensorFlow in order to calibrate the SABR model. The final goal consists in predicting a volatility surface, as described in "Deep Learning Volatility" (2019).