ESkripichnikov / market-makingLinks
Reinforcement Learning in Market Making is a project that explores the application of RL techniques to develop market-making strategies, comparing them with baseline approaches and conducting experiments on real-world data.
☆29Updated 2 years ago
Alternatives and similar repositories for market-making
Users that are interested in market-making are comparing it to the libraries listed below
Sorting:
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆232Updated 2 years ago
- Order Imbalance Strategy in High Frequency Trading☆139Updated 7 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆91Updated 2 years ago
- CS7641 Team project☆97Updated 5 years ago
- ☆122Updated 8 years ago
- Notes on Advances in Financial Machine Learning☆82Updated 6 years ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆208Updated last year
- A curated list of Quantitative Finance papers.☆74Updated last week
- Implementation of HFT backtesting simulator and Stoikov strategy☆139Updated 2 years ago
- Collect BinanceFutures's trade and orderbook(depth) feeds.☆105Updated last year
- HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-ma…☆274Updated 3 weeks ago
- Using reinforcement learning to make markets in the high frequency trading setting.☆22Updated 8 months ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆137Updated 3 years ago
- This repository is for the demonstration of our work, "Market Making with Deep Reinforcement Learning from Limit Order Books"☆71Updated 2 years ago
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆134Updated last year
- Calibrates microprice model to BitMEX quote data☆60Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Updated 4 years ago
- High-frequency statistical arbitrage☆235Updated 2 years ago
- Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning☆146Updated 5 years ago
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆175Updated 6 years ago
- Baruch MFE 2019 Spring☆43Updated 5 years ago
- algo trading backtesting on BitMEX☆80Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆92Updated 2 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆90Updated 4 years ago
- Delta hedging under SABR model☆41Updated last year
- ☆139Updated 4 years ago
- A collection of homeworks of market microstructure models.☆269Updated 7 years ago
- ☆37Updated 4 years ago
- Package to build risk model for factor pricing model☆27Updated last year
- ☆53Updated 4 years ago