Dmitry Lukovkin lukovkin
lukovkin
/ optimal_strategy.py
Last active
January 30, 2018 07:41
— forked from nmayorov/optimal_strategy.py
Compute optimal trading strategy for the algorithm described in http://arxiv.org/abs/1508.00317
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| import numpy as np | |
| import pandas as pd | |
| def compute_market_prices(prices): | |
| """Compute market prices according to the trading competition recipe. | |
| Parameters | |
| ---------- | |
| prices : DataFrame |