FranklinMa810 / Market-MicrostructureLinks
☆24Updated 5 years ago
Alternatives and similar repositories for Market-Microstructure
Users that are interested in Market-Microstructure are comparing it to the libraries listed below
Sorting:
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Collection of Models related to market making☆18Updated 4 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆66Updated last year
- Derivation of analytical expressions of optimal quotes for market making in options.☆20Updated 3 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- Backtest result archive for Momentum Trading Strategies☆61Updated 6 years ago
- Baruch course - Market Microstructure☆14Updated 9 years ago
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask credit. Further, outstanding del…☆10Updated 2 years ago
- ☆35Updated 4 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading☆18Updated 4 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆31Updated 3 years ago
- ☆51Updated 4 years ago
- Basic Limit Order Book functions☆22Updated 7 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆66Updated 2 years ago
- Repo for HFT project in CMF☆29Updated 2 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- Market making strategies and scientific papers☆13Updated last year
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 3 months ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- Optimal high-frequency market making strategy☆23Updated 8 months ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Updated 3 years ago
- High Frequency Market Making: Optimal Quoting☆12Updated 2 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆31Updated 4 years ago
- FactorLab is a python library that enables the discovery and analysis of alpha and risk factors used in the investment algorithm developm…☆4Updated 3 weeks ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆23Updated 7 years ago
- AS model performance versus trivial delta for market-makers☆20Updated 3 years ago