DYSIM / Avellaneda-Stoikov-Implementation
An implementation of Avellaneda-Stoikov market making model after reading the seminal paper
☆31Updated 3 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☆28Updated 3 years ago
- AS model performance versus trivial delta for market-makers☆18Updated 3 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆33Updated 3 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- ☆49Updated 4 years ago
- ☆32Updated 3 years ago
- Calibrates microprice model to BitMEX quote data☆56Updated 3 years ago
- Optimal high-frequency market making strategy☆21Updated 5 months ago
- High Frequency Trading Strategies☆44Updated 7 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 4 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago
- ☆25Updated 2 years ago
- high-frequency grid trading strategy backtesting for binance futures☆23Updated 2 years ago
- Collection of Models related to market making☆16Updated 4 years ago
- OpenAI Gym Environment for Low-Latency Trading☆18Updated 6 years ago
- ☆113Updated 7 years ago
- Repository for market making ideas☆40Updated last year
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆51Updated 3 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆47Updated 5 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
- Example of order book modeling.☆56Updated 5 years ago
- Literature survey of order execution strategies implemented in python☆44Updated 4 years ago
- Replication of A Stochastic Model for Order Book Dynamics by Cont, Stoikov, and Talreja, 2010☆18Updated 6 years ago
- Derive order flow from Tick and Trade data.☆32Updated 3 years ago
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆14Updated last year
- High-frequency trading in a limit order book☆58Updated 6 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- algo trading backtesting on BitMEX☆77Updated last year
- Price Prediction with Machine Learning Models (practicum project at CME group)☆67Updated 9 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆63Updated 5 years ago