An implementation of Avellaneda-Stoikov market making model after reading the seminal paper
☆33Jun 15, 2021Updated 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. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Collection of Models related to market making☆18Jan 25, 2021Updated 5 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆31Sep 12, 2021Updated 4 years ago
- Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning☆153Dec 28, 2019Updated 6 years ago
- Avellaneda-Stoikov HFT market making algorithm implementation☆686Jul 6, 2023Updated 2 years ago
- Mid price estimation in LOB using Markov model☆13May 11, 2022Updated 3 years ago
- AI Agents on DigitalOcean Gradient AI Platform • AdBuild production-ready AI agents using customizable tools or access multiple LLMs through a single endpoint. Create custom knowledge bases or connect external data.
- algo trading backtesting on BitMEX☆82Dec 4, 2023Updated 2 years ago
- Replication of study Avellaneda, Marco, and Sasha Stoikov: High-frequency trading in a limit order book. Quantitative Finance 8.3 (2008):…☆96Oct 30, 2017Updated 8 years ago
- Phd repo☆18Jul 14, 2022Updated 3 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆39Jan 3, 2021Updated 5 years ago
- High Frequency Market Making☆625Sep 24, 2023Updated 2 years ago
- Zakamouline optimal delta hedging strategy python implementation.☆20Dec 11, 2022Updated 3 years ago
- ☆11Oct 6, 2020Updated 5 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆24Dec 12, 2021Updated 4 years ago
- Market making strategy example☆28Feb 26, 2021Updated 5 years ago
- End-to-end encrypted email - Proton Mail • AdSpecial offer: 40% Off Yearly / 80% Off First Month. All Proton services are open source and independently audited for security.
- Repo for HFT project in CMF☆29Jan 4, 2023Updated 3 years ago
- ☆16Jun 28, 2022Updated 3 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆35Nov 3, 2021Updated 4 years ago
- Marketmaker trading strategy☆29Oct 14, 2016Updated 9 years ago
- Algorithmic trading strategies research and execution platform☆81Apr 22, 2026Updated 2 weeks ago
- Hawkes with Latency☆20Jan 16, 2021Updated 5 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆15Jul 17, 2023Updated 2 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆147May 6, 2023Updated 3 years ago
- replication of micro-price on crytocurrency data☆10Feb 27, 2022Updated 4 years ago
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- Zero Intelligence Agent-Based Model of Modern Limit Order Book☆54Feb 5, 2018Updated 8 years ago
- Baruch MFE 2019 Spring☆45May 29, 2020Updated 5 years ago
- HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-ma…☆291Updated this week
- Python API for accessing Lake high frequency tick trades & order book data☆66Nov 2, 2025Updated 6 months ago
- Calibrates microprice model to BitMEX quote data☆65Jul 1, 2021Updated 4 years ago
- TectonicDB client library for Elixir to read/write L2 order book data☆15Apr 10, 2023Updated 3 years ago
- ☆131Dec 12, 2017Updated 8 years ago
- Code package to analyze high-frequency trading (HFT) races using financial-exchange message data, following Aquilina, Budish and O'Neill …☆48Nov 14, 2021Updated 4 years ago
- ☆22Apr 1, 2023Updated 3 years ago
- 1-Click AI Models by DigitalOcean Gradient • AdDeploy popular AI models on DigitalOcean Gradient GPU virtual machines with just a single click. Zero configuration with optimized deployments.
- Track which HTTP protocols are being used by exchanges' servers☆16Apr 19, 2024Updated 2 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆154May 9, 2020Updated 5 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆248Jun 29, 2023Updated 2 years ago
- Study of price volume data to analyze an order imbalance strategy for Bitcoin on BitMEX platform☆12Dec 31, 2018Updated 7 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆29Aug 29, 2020Updated 5 years ago
- Web app for arbitrage rate between the following exchanges: Bittrex, Binance, Poloniex, Cryptopia, Liqui, HitBTC, Bitfinex, Exmo, Qryptos…☆11Jan 6, 2023Updated 3 years ago
- Volume-Synchronized Probability of Informed Trading☆116Oct 13, 2013Updated 12 years ago