JurajZelman / airl-market-makingLinks
The official repository for the paper Adversarial Inverse Reinforcement Learning for Market Making (2024) published and presented at the ICAIF'24 conference.
☆26Updated 9 months ago
Alternatives and similar repositories for airl-market-making
Users that are interested in airl-market-making are comparing it to the libraries listed below
Sorting:
- A Practical Guide to a Simple Data Stack.☆40Updated 11 months ago
- Orderflow trading bot based on BSI☆19Updated last year
- ☆28Updated 3 years ago
- ☆36Updated 4 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago
- Mid price estimation in LOB using Markov model☆12Updated 3 years ago
- a cpp framework for crypto currentcy tick data backtesting☆17Updated 4 years ago
- Repo for HFT project in CMF☆30Updated 2 years ago
- Package to build risk model for factor pricing model☆28Updated last year
- Bot for fetching the latest funding rate to check for cross exchanges funding arb opportunities☆18Updated 11 months ago
- Limit Order book and matching engine in Rust.☆51Updated 3 years ago
- Build your own historical Limit Order Book dataset☆43Updated 4 years ago
- Collection of Models related to market making☆18Updated 4 years ago
- ☆65Updated 2 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆31Updated 4 years ago
- Calibrates microprice model to BitMEX quote data☆58Updated 4 years ago
- ☆34Updated 9 months ago
- A Rust on-site channel benchmarking helper. Inter-Process (async / busy) & Intra-Process (async single threaded / async multi threaded)☆31Updated last year
- AS model performance versus trivial delta for market-makers☆20Updated 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…☆71Updated 7 years ago
- Code package to analyze high-frequency trading (HFT) races using financial-exchange message data, following Aquilina, Budish and O'Neill …☆48Updated 3 years ago
- Repository for market making ideas☆43Updated last year
- event-driven trading and backtesting engine☆20Updated 9 months ago
- Market Making in Python☆19Updated last year
- ☆52Updated 4 years ago
- ☆117Updated 7 years ago
- A simple trading bot written in Rust based on counter-trading large deviations in the futures order book delta volume.☆76Updated 2 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆49Updated 5 years ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆54Updated 2 weeks ago
- ☆47Updated 6 years ago