DYSIM / Avellaneda-Stoikov-ImplementationLinks
An implementation of Avellaneda-Stoikov market making model after reading the seminal paper
☆33Updated 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:
- Repo for HFT project in CMF☆28Updated 2 years ago
- 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
- ☆37Updated 4 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆34Updated 4 years ago
- Example of order book modeling.☆57Updated 6 years ago
- High Frequency Trading Strategies☆48Updated 8 years ago
- ☆53Updated 4 years ago
- Calibrates microprice model to BitMEX quote data☆60Updated 4 years ago
- AS model performance versus trivial delta for market-makers☆21Updated 3 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
- Repository for market making ideas☆42Updated last year
- High-frequency trading in a limit order book☆59Updated 6 years ago
- Collection of Models related to market making☆16Updated 4 years ago
- algo trading backtesting on BitMEX☆81Updated 2 years ago
- high-frequency grid trading strategy backtesting for binance futures☆24Updated 3 years ago
- ☆121Updated 7 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆103Updated 6 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago
- Volume-Synchronized Probability of Informed Trading☆112Updated 12 years ago
- Optimal high-frequency market making strategy☆24Updated last year
- ☆28Updated 3 years ago
- OpenAI Gym Environment for Low-Latency Trading☆18Updated 7 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆97Updated 4 years ago
- Market making strategy example☆27Updated 4 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆70Updated last year
- Trend Prediction for High Frequency Trading☆43Updated 2 years ago
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆36Updated last year
- Backtest result archive for Momentum Trading Strategies☆64Updated 6 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆28Updated 4 years ago
- Deep learning approach for market price prediction, in JAX☆53Updated last year