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☆44Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- ☆38Updated 4 years ago
- High Frequency Market Making: Optimal Quoting☆13Updated 2 years ago
- Baruch course - Market Microstructure☆14Updated 9 years ago
- Market making strategies and scientific papers☆14Updated 2 years ago
- Collection of Models related to market making☆17Updated 4 years ago
- ☆53Updated 4 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆22Updated 3 years ago
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years 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
- AS model performance versus trivial delta for market-makers☆21Updated 3 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆71Updated 2 years ago
- Basic Limit Order Book functions☆23Updated 7 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Time Series Prediction of Volume in LOB☆59Updated last year
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆30Updated 7 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆29Updated 2 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 3 years ago
- Stochastic volatility models and their application to Deribit crypro-options exchange☆13Updated last year
- A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading☆19Updated 4 years ago
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆18Updated 2 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 8 months ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 4 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
- 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
- Optimal high-frequency market making strategy☆25Updated last year
- Baruch MFE MTH9894☆13Updated 8 years ago
- ☆16Updated 3 years ago