Code

 

Below you will find Jupyter notebooks in Python implementations of various algorithms found in our book

published by

Cambridge University Press

purchase on Amazon

Álvaro Cartea

Oxford University

Sebastian Jaimungal

University of Toronto

Jose Penalva

Universidad Carlos III

Click on a title to expand that window.

You may also click on the github link at the bottom of that window to download the code.


Data Exploration

Optimal Execution Basics (Chap 6.5)

Optimal Acquisition with a Price Limiter (Chap 7.2)

Short-term alpha and Order-flow optimal trading (Chap 7.3)

Liquidation using Limit and Market Orders (Chap 8.5)

Targeting Percentage of Volume (Chap 9.2)

Market Making with Short-Term Alpha (Chap 10.4.2)

Functional Principal Component Analysis of Trade Volume