Andrew-Lloy / Optimal-HFT-Guilbaud-PhamLinks
Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Guilbaud and Pham.
☆17Updated last year
Alternatives and similar repositories for Optimal-HFT-Guilbaud-Pham
Users that are interested in Optimal-HFT-Guilbaud-Pham are comparing it to the libraries listed below
Sorting:
- High Frequency Market Making: Optimal Quoting☆13Updated 2 years ago
- Optimal high-frequency market making strategy☆24Updated 11 months ago
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆35Updated last year
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆31Updated 4 years ago
- from for/if/else to my first option back-test function☆20Updated 5 years ago
- Market making strategies and scientific papers☆14Updated 2 years ago
- High frequency prediction of Chinese stock returns. Orderbook data generation. High frequency factors construction.☆18Updated 2 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 7 years ago
- High Frequency Trading Strategies☆48Updated 8 years ago
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆65Updated 3 years ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Updated 3 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆32Updated 4 years ago
- Develop about 200 alpha factors from securities report etc, Grid Search/Random Search/Particle Swarm Optimization to improve factors perf…☆22Updated 7 years ago
- ☆28Updated 3 years ago
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago
- ☆24Updated 5 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆13Updated 2 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆19Updated 3 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Collection of numerical methods for high frequency data, in Python notebooks☆13Updated 4 years ago
- ☆21Updated 6 years ago
- My first high-frequency trading strategy using machine learning☆18Updated 3 years ago
- Repo for HFT project in CMF☆29Updated 2 years ago
- my first factor-stock-selecting backtest function☆22Updated 5 years ago
- Delta hedging under SABR model☆35Updated last year
- Mean Reversion Trading Strategy☆29Updated 4 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆29Updated 4 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- ORC wing model calibrator and simulator.☆10Updated last year
- A model simulation shows how pairs trading could be used for two S&P500 traded stocks. It proofs that the strategy is successful on real…☆27Updated 5 years ago