DYSIM / Avellaneda-Stoikov-ImplementationLinks
An implementation of Avellaneda-Stoikov market making model after reading the seminal paper
☆32Updated 4 years ago
Alternatives and similar repositories for Avellaneda-Stoikov-Implementation
Users that are interested in Avellaneda-Stoikov-Implementation are comparing it to the libraries listed below
Sorting:
- 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
- Repo for HFT project in CMF☆28Updated 2 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆34Updated 4 years ago
- AS model performance versus trivial delta for market-makers☆21Updated 3 years ago
- ☆37Updated 4 years ago
- Example of order book modeling.☆57Updated 6 years ago
- High Frequency Trading Strategies☆48Updated 8 years ago
- ☆120Updated 7 years ago
- Calibrates microprice model to BitMEX quote data☆60Updated 4 years ago
- Repository for market making ideas☆42Updated last year
- ☆53Updated 4 years ago
- algo trading backtesting on BitMEX☆81Updated last year
- Collection of Models related to market making☆16Updated 4 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago
- This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in…☆72Updated 7 years ago
- Optimal high-frequency market making strategy☆24Updated 11 months ago
- High-frequency trading in a limit order book☆59Updated 6 years ago
- Volume-Synchronized Probability of Informed Trading☆112Updated 12 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- high-frequency grid trading strategy backtesting for binance futures☆24Updated 3 years ago
- Backtest result archive for Momentum Trading Strategies☆64Updated 6 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆97Updated 4 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆94Updated last year
- Deep learning approach for market price prediction, in JAX☆51Updated last year
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆54Updated 4 years ago
- Deep learning for price movement prediction using high frequency limit order data☆40Updated 7 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆103Updated 6 years ago
- ☆28Updated 3 years ago
- Market Making in Python☆19Updated last year
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆78Updated 7 years ago