Andrew-Lloy / Optimal-HFT-Guilbaud-Pham
Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Guilbaud and Pham.
☆14Updated 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
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- AS model performance versus trivial delta for market-makers☆18Updated 3 years ago
- Optimal high-frequency market making strategy☆19Updated 4 months ago
- ☆23Updated 2 years ago
- SVI volatility surface model and an example of China 50ETF option☆64Updated 4 years ago
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆29Updated last year
- ☆49Updated 3 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆27Updated 3 years ago
- Market making strategies and scientific papers☆13Updated last year
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- High Frequency Trading Strategies☆42Updated 7 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- 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…☆25Updated 4 years ago
- Literature survey of order execution strategies implemented in python☆42Updated 4 years ago
- Calibrates microprice model to BitMEX quote data☆56Updated 3 years ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆17Updated 2 years ago
- ☆21Updated 5 years ago
- ☆50Updated 7 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆27Updated 6 years ago
- Replication of A Stochastic Model for Order Book Dynamics by Cont, Stoikov, and Talreja, 2010☆18Updated 6 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 5 years ago
- 多因子模型相关☆21Updated 3 years ago
- my first factor-stock-selecting backtest function☆21Updated 4 years ago
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆52Updated 2 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆33Updated 5 years ago
- Surface SVI parameterisation and corresponding local volatility☆45Updated 4 years ago
- ☆44Updated 2 months ago
- Baruch MFE 2019 Spring☆39Updated 4 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 3 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago