DYSIM / Avellaneda-Stoikov-ImplementationView external linksLinks
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
Sorting:
- Collection of Models related to market making☆17Jan 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☆30Sep 12, 2021Updated 4 years ago
- Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning☆147Dec 28, 2019Updated 6 years ago
- Avellaneda-Stoikov HFT market making algorithm implementation☆641Jul 6, 2023Updated 2 years ago
- ☆11Oct 6, 2020Updated 5 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☆38Jan 3, 2021Updated 5 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆23Dec 12, 2021Updated 4 years ago
- Mid price estimation in LOB using Markov model☆13May 11, 2022Updated 3 years ago
- Repo for HFT project in CMF☆29Jan 4, 2023Updated 3 years ago
- High Frequency Market Making☆611Sep 24, 2023Updated 2 years ago
- algo trading backtesting on BitMEX☆81Dec 4, 2023Updated 2 years ago
- ☆16Jun 28, 2022Updated 3 years ago
- Algorithmic trading strategies research and execution platform☆47Jan 19, 2026Updated 3 weeks ago
- Market making strategy example☆28Feb 26, 2021Updated 4 years ago
- Replication of study Avellaneda, Marco, and Sasha Stoikov: High-frequency trading in a limit order book. Quantitative Finance 8.3 (2008):…☆92Oct 30, 2017Updated 8 years ago
- Zero Intelligence Agent-Based Model of Modern Limit Order Book☆54Feb 5, 2018Updated 8 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆35Nov 3, 2021Updated 4 years ago
- Source code for the course "Deep Reinforcement Learning for High-Frequency Trading" held at the Ukrainian Catholic University / Czech Tec…☆20Sep 11, 2022Updated 3 years ago
- Zakamouline optimal delta hedging strategy python implementation.☆20Dec 11, 2022Updated 3 years ago
- Hawkes with Latency☆20Jan 16, 2021Updated 5 years ago
- Gamma Scalping Trading Strategies☆24May 7, 2016Updated 9 years ago
- funds are the future!☆18Jul 6, 2021Updated 4 years ago
- ☆124Dec 12, 2017Updated 8 years ago
- Calibrates microprice model to BitMEX quote data☆64Jul 1, 2021Updated 4 years ago
- Baruch MFE 2019 Spring☆43May 29, 2020Updated 5 years ago
- [Likelihood Lab Project 2024] Official Repository for The Technical Report, Label Unbalance in High-frequency Trading☆30Mar 20, 2025Updated 10 months ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆144May 6, 2023Updated 2 years ago
- replication of micro-price on crytocurrency data☆10Feb 27, 2022Updated 3 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆27Aug 29, 2020Updated 5 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
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆31Apr 30, 2020Updated 5 years ago
- Order Imbalance Strategy in High Frequency Trading☆141Jun 4, 2018Updated 7 years ago
- Track which HTTP protocols are being used by exchanges' servers☆16Apr 19, 2024Updated last year
- Forex news trading app built with java and Dukascopy API. Can open multiple orders and manage them during the news event. Includes strate…☆13May 14, 2019Updated 6 years ago
- Web app for arbitrage rate between the following exchanges: Bittrex, Binance, Poloniex, Cryptopia, Liqui, HitBTC, Bitfinex, Exmo, Qryptos…☆12Jan 6, 2023Updated 3 years ago
- Study of price volume data to analyze an order imbalance strategy for Bitcoin on BitMEX platform☆12Dec 31, 2018Updated 7 years ago
- Volume-Synchronized Probability of Informed Trading☆113Oct 13, 2013Updated 12 years ago
- Python API for accessing Lake high frequency tick trades & order book data☆60Nov 2, 2025Updated 3 months ago