Sebastian Jaimungal sebjai
sebjai
/ Liquidation_Permanent_Price_Impact.ipynb
Created
October 30, 2019 00:47
Optimal Execution with linear and non-linear impact. Chapter 6 of Algorithmic and High-Frequency Trading (c) Cartea, Jaimungal, & Penalva, 2015 Cambridge University Press
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sebjai
/ TargetPercent_MarketSpeed.ipynb
Last active
September 11, 2024 15:12
Optimal execution with a percentage of volume target (Chap 9.2 of Algorithmic and High-Frequency Trading (c) Cartea, Jaimungal, & Penalva 2015 Cambridge University Press)
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sebjai
/ Execution_Limit_MarketOrder.ipynb
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August 29, 2024 08:11
Implementation of optimal execution using limit and market orders from Chap 8.5 of Algorithmic and High-Frequency Trading by Cartea, Jaimungal, & Penalva (2015) Cambridge University Press
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sebjai
/ OrderFlow.ipynb
Created
September 26, 2019 21:39
Optimal trading with order-flow and short-term alpha
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sebjai
/ STA2536-exponential-MixtureModel.ipynb
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July 11, 2024 15:15
Estimation exponential mixture models
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sebjai
/ short_term_alpha.ipynb
Last active
September 18, 2024 21:00
Market Making in Short-Term Alpha (Chapter 10.4.2 of Algorithmic and High-Frequency Trading by Cartea, Jaimungal, Penalva, published by Cambridge University Press)
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sebjai
/ PriceLimitSim.ipynb
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August 29, 2024 08:18
Algo Trading Book Price Limiter (Chapter 7.2 of of Algorithmic and High-Frequency Trading by Cartea, Jaimungal, Penalva, published by Cambridge University Press)
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sebjai
/ STA2536-MixtureModel.ipynb
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August 13, 2024 04:19
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sebjai
/ STA4505-BasicDataView.ipynb
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August 26, 2023 04:31
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