├── .gitignore ├── README.md └── notebooks ├── Hasbrouck_Market_Microstructure ├── bivariate_normal_projection.ipynb ├── market_makers_game_theory.ipynb ├── order_book_simulations │ ├── classes │ │ ├── market_manager.py │ │ ├── order.py │ │ ├── order_book.py │ │ ├── trade.py │ │ └── trader.py │ ├── experiments │ │ ├── experiment_0_order_flow_vs_price.ipynb │ │ ├── experiment_1_CMSW_framework.ipynb │ │ ├── experiment_2_informed_traders_and_depth.ipynb │ │ ├── experiment_3_risk_and_depth.ipynb │ │ ├── experiment_4_market_making.ipynb │ │ ├── order_flow_representation.ipynb │ │ └── order_flow_simulation.ipynb │ ├── tests │ │ └── tests1.ipynb │ └── utilities.py ├── price_impact.ipynb ├── roll_model_relaxing_of_assumptions.ipynb ├── roll_model_serial_dependence.ipynb ├── sequential_trade_model.ipynb ├── sequential_trade_model_part_2.ipynb └── sequential_trade_model_part_3.ipynb ├── finance_notebooks ├── bybit_flow_analysis │ ├── .gitignore │ └── format_flow_from_bybit.ipynb └── temperature_analysis │ ├── temperature_dataset_deseasoning.ipynb │ └── temperature_dataset_exploration.ipynb ├── general_python_tutorials ├── dangers_of_hidden_parameters.ipynb └── multiindexing_tutorial.ipynb ├── simple_vectorial_backtest ├── backtest.py └── simple_vectorial_backtest.ipynb └── statistics ├── interpretation_of_logistic_regression_estimations.ipynb └── wu_for_better_hypothesis_testing.ipynb /.gitignore: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/.gitignore -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/README.md -------------------------------------------------------------------------------- /notebooks/Hasbrouck_Market_Microstructure/bivariate_normal_projection.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/Hasbrouck_Market_Microstructure/bivariate_normal_projection.ipynb -------------------------------------------------------------------------------- /notebooks/Hasbrouck_Market_Microstructure/market_makers_game_theory.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/Hasbrouck_Market_Microstructure/market_makers_game_theory.ipynb -------------------------------------------------------------------------------- /notebooks/Hasbrouck_Market_Microstructure/order_book_simulations/classes/market_manager.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/Hasbrouck_Market_Microstructure/order_book_simulations/classes/market_manager.py -------------------------------------------------------------------------------- /notebooks/Hasbrouck_Market_Microstructure/order_book_simulations/classes/order.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/Hasbrouck_Market_Microstructure/order_book_simulations/classes/order.py -------------------------------------------------------------------------------- /notebooks/Hasbrouck_Market_Microstructure/order_book_simulations/classes/order_book.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/Hasbrouck_Market_Microstructure/order_book_simulations/classes/order_book.py -------------------------------------------------------------------------------- /notebooks/Hasbrouck_Market_Microstructure/order_book_simulations/classes/trade.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/Hasbrouck_Market_Microstructure/order_book_simulations/classes/trade.py -------------------------------------------------------------------------------- /notebooks/Hasbrouck_Market_Microstructure/order_book_simulations/classes/trader.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/Hasbrouck_Market_Microstructure/order_book_simulations/classes/trader.py -------------------------------------------------------------------------------- /notebooks/Hasbrouck_Market_Microstructure/order_book_simulations/experiments/experiment_0_order_flow_vs_price.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/Hasbrouck_Market_Microstructure/order_book_simulations/experiments/experiment_0_order_flow_vs_price.ipynb -------------------------------------------------------------------------------- /notebooks/Hasbrouck_Market_Microstructure/order_book_simulations/experiments/experiment_1_CMSW_framework.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/Hasbrouck_Market_Microstructure/order_book_simulations/experiments/experiment_1_CMSW_framework.ipynb -------------------------------------------------------------------------------- /notebooks/Hasbrouck_Market_Microstructure/order_book_simulations/experiments/experiment_2_informed_traders_and_depth.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/Hasbrouck_Market_Microstructure/order_book_simulations/experiments/experiment_2_informed_traders_and_depth.ipynb -------------------------------------------------------------------------------- /notebooks/Hasbrouck_Market_Microstructure/order_book_simulations/experiments/experiment_3_risk_and_depth.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/Hasbrouck_Market_Microstructure/order_book_simulations/experiments/experiment_3_risk_and_depth.ipynb -------------------------------------------------------------------------------- /notebooks/Hasbrouck_Market_Microstructure/order_book_simulations/experiments/experiment_4_market_making.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/Hasbrouck_Market_Microstructure/order_book_simulations/experiments/experiment_4_market_making.ipynb -------------------------------------------------------------------------------- /notebooks/Hasbrouck_Market_Microstructure/order_book_simulations/experiments/order_flow_representation.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/Hasbrouck_Market_Microstructure/order_book_simulations/experiments/order_flow_representation.ipynb -------------------------------------------------------------------------------- /notebooks/Hasbrouck_Market_Microstructure/order_book_simulations/experiments/order_flow_simulation.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/Hasbrouck_Market_Microstructure/order_book_simulations/experiments/order_flow_simulation.ipynb -------------------------------------------------------------------------------- /notebooks/Hasbrouck_Market_Microstructure/order_book_simulations/tests/tests1.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/Hasbrouck_Market_Microstructure/order_book_simulations/tests/tests1.ipynb -------------------------------------------------------------------------------- /notebooks/Hasbrouck_Market_Microstructure/order_book_simulations/utilities.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/Hasbrouck_Market_Microstructure/order_book_simulations/utilities.py -------------------------------------------------------------------------------- /notebooks/Hasbrouck_Market_Microstructure/price_impact.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/Hasbrouck_Market_Microstructure/price_impact.ipynb -------------------------------------------------------------------------------- /notebooks/Hasbrouck_Market_Microstructure/roll_model_relaxing_of_assumptions.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/Hasbrouck_Market_Microstructure/roll_model_relaxing_of_assumptions.ipynb -------------------------------------------------------------------------------- /notebooks/Hasbrouck_Market_Microstructure/roll_model_serial_dependence.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/Hasbrouck_Market_Microstructure/roll_model_serial_dependence.ipynb -------------------------------------------------------------------------------- /notebooks/Hasbrouck_Market_Microstructure/sequential_trade_model.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/Hasbrouck_Market_Microstructure/sequential_trade_model.ipynb -------------------------------------------------------------------------------- /notebooks/Hasbrouck_Market_Microstructure/sequential_trade_model_part_2.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/Hasbrouck_Market_Microstructure/sequential_trade_model_part_2.ipynb -------------------------------------------------------------------------------- /notebooks/Hasbrouck_Market_Microstructure/sequential_trade_model_part_3.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/Hasbrouck_Market_Microstructure/sequential_trade_model_part_3.ipynb -------------------------------------------------------------------------------- /notebooks/finance_notebooks/bybit_flow_analysis/.gitignore: -------------------------------------------------------------------------------- 1 | *.txt -------------------------------------------------------------------------------- /notebooks/finance_notebooks/bybit_flow_analysis/format_flow_from_bybit.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/finance_notebooks/bybit_flow_analysis/format_flow_from_bybit.ipynb -------------------------------------------------------------------------------- /notebooks/finance_notebooks/temperature_analysis/temperature_dataset_deseasoning.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/finance_notebooks/temperature_analysis/temperature_dataset_deseasoning.ipynb -------------------------------------------------------------------------------- /notebooks/finance_notebooks/temperature_analysis/temperature_dataset_exploration.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/finance_notebooks/temperature_analysis/temperature_dataset_exploration.ipynb -------------------------------------------------------------------------------- /notebooks/general_python_tutorials/dangers_of_hidden_parameters.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/general_python_tutorials/dangers_of_hidden_parameters.ipynb -------------------------------------------------------------------------------- /notebooks/general_python_tutorials/multiindexing_tutorial.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/general_python_tutorials/multiindexing_tutorial.ipynb -------------------------------------------------------------------------------- /notebooks/simple_vectorial_backtest/backtest.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/simple_vectorial_backtest/backtest.py -------------------------------------------------------------------------------- /notebooks/simple_vectorial_backtest/simple_vectorial_backtest.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/simple_vectorial_backtest/simple_vectorial_backtest.ipynb -------------------------------------------------------------------------------- /notebooks/statistics/interpretation_of_logistic_regression_estimations.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/statistics/interpretation_of_logistic_regression_estimations.ipynb -------------------------------------------------------------------------------- /notebooks/statistics/wu_for_better_hypothesis_testing.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Peropero0/quantitative_finance_playground/HEAD/notebooks/statistics/wu_for_better_hypothesis_testing.ipynb --------------------------------------------------------------------------------