Gururaghav Gopal's repositories
hive-io-experimental
Hive I/O Library
YouCompleteMe
A code-completion engine for Vim
Q4Models
Code to solve/simulate the models from the 4th quarter in the first year PhD macroeconomics sequence at NYU. Course taught by Gianluca Violante.
scipy
Scipy library main repository
BuildingMachineLearningSystemsWithPython
Source Code for the book Building Machine Learning Systems with Python
thOth
thOth is an open-source high frequency trading library in C++
robostrippy
Python lib to strip websites. Like a robot.
High-Frequency-Trading-Model-with-IB
A high-frequency trading model using Interactive Brokers API with pairs and mean-reversion in Python
pandas-website
Front page website for the pandas project
nyqpug-pandas-features
IPython notebook(s) for NYQPUG Meetup May 28th, 2014
QuantShim
A Python framework for R&D of financial investment strategies, and trading them algorithmiclly via Quantopian.com
Quant-Functions
Python functions for fixed-income pricing and risk management
ecl
Exchange Connectivity Layer
quantcomponents
QuantComponents - Free Java components for Quantitative Finance and Algorithmic Trading
machine-learning-coursera
Lecture notes and assignments for coursera machine learning class
urlize.js
JavaScript port of Django's function for converting URLs in text into clickable links.
portfolio_backtesting
We optimize our portoflio using constrained 130/30 efficient frontier. The definition and backtesting of the strategy is done through a GUI and outputs a dynamic report to highlight the strategy (portfolio composition at each rebalancing dates, econometrics risk indicators).
optimal_transaction_execution
This entry contains two topics The first item is entirely based on the following paper: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2011-056.pdf It contains 2 MATLAB demonstrating script : DATA_preprocessing.m & VAR_modeling_script.m DATA_preprocessing.m uses the LOBSTER framework (https://lobster.wiwi.hu-berlin.de/) to preprocess high frequency data from the NASDAQ Total View ITCH (csv files) allowing us to reconstruct exactly at each time the order book up to ten depths. Just look at the published script ! VAR_modeling_script.m contains the modeling of the whole order book as VEC/VAR process. It uses the great VAR/VEC Joahnsen cointegration framework. After calibrating your VAR model, you then assess the impact of an order using shock scenario (sensitivity analysis) to the VAR process. We deal with 3 scenarii : normal limit order, aggressive limit order & normal market order). Play section by section the script (to open up figures which contain a lot of graphs). It contains a power point to help you present this complex topic. The second item is entirely based on the following paper : http://www.courant.nyu.edu/~almgren/papers/optliq.pdf It contains a mupad document : symbolic_demo.mn I did struggle to get something nice with the symbolic toolbox. I was not able to drive a continuous workflow and had to recode some equations myself. I nevertheless managed to get a closed form solution for the simplified linear cost model. It contains a MATLAB demonstrating script : working_script.m For more sophisticated cost model, there is no more closed form and we there highlighted MATLAB numerical optimization abilities (fmincon). It contains an Optimization Apps you can install. Just launch the optimization with the default parameters. And then switch the slider between volatility risk and liquidation costs to see the trading strategies evolve on the efficient frontier. It contains a power point to help you present this complex topic.
risk_model
This is an tutorial on credit risk model designed for peer-to-peer lending (Internet finance)
esm
Exchange Simulator
TradeFx
TradeFx is an open source trading application.
OG-Platform
The core OpenGamma Platform wrapper project
pandas
Flexible and powerful data analysis / manipulation library for Python, providing labeled data structures similar to R data.frame objects, statistical functions, and much more
Rdocumentation
Integrate R with http://www.Rdocumentation.org
storm
Distributed and fault-tolerant realtime computation: stream processing, continuous computation, distributed RPC, and more
Snowstorm
Enterprise-grade JavaScript snow effect for the internets, setting CPUs on fire worldwide every winter since 2003.
algo-trader-tool-suite
Proprietary trading solution for high-frequency trading (HFT) and statistical arbitrage algorithms