KodAgge / Reinforcement-Learning-for-Market-Making
Using tabular and deep reinforcement learning methods to infer optimal market making strategies
☆167Updated last year
Related projects ⓘ
Alternatives and complementary repositories for Reinforcement-Learning-for-Market-Making
- High-frequency statistical arbitrage☆149Updated last year
- This repository is for the demonstration of our work, "Market Making with Deep Reinforcement Learning from Limit Order Books"☆50Updated last year
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆125Updated 5 months ago
- Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning☆136Updated 4 years ago
- Limit Order Book data analysis and modeling using LSTM network☆126Updated 5 years ago
- HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-ma…☆209Updated 6 months ago
- A collection of homeworks of market microstructure models.☆209Updated 6 years ago
- ☆186Updated last year
- CS7641 Team project☆87Updated 4 years ago
- ☆106Updated 6 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆133Updated 4 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆99Updated last year
- High Frequency Market Making☆407Updated last year
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆191Updated 2 years ago
- Order Imbalance Strategy in High Frequency Trading☆123Updated 6 years ago
- mbt_gym is a module which provides a suite of gym environments for training reinforcement learning (RL) agents to solve model-based high-…☆153Updated 10 months ago
- Deep learning modelling of orderbooks☆92Updated 4 years ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆90Updated last year
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆150Updated 5 years ago
- algo trading backtesting on BitMEX☆75Updated 11 months ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆78Updated 3 years ago
- Collect BinanceFutures's trade and orderbook(depth) feeds.☆97Updated 3 months ago
- Deep Learning Statistical Arbitrage☆200Updated 2 years ago
- experiments with pair trading☆255Updated 3 weeks ago
- Avellaneda-Stoikov HFT market making algorithm implementation☆435Updated last year
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆56Updated last year
- ☆360Updated 3 years ago
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆87Updated 6 months ago
- toolbox of fast mm-related funcs☆127Updated 2 months ago
- Pair Trading Strategy using Machine Learning written in Python☆112Updated 2 years ago