Hawkes with Latency
☆20Jan 16, 2021Updated 5 years ago
Alternatives and similar repositories for Hawkes-With-Latency
Users that are interested in Hawkes-With-Latency are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Basic Limit Order Book functions☆23Apr 4, 2018Updated 7 years ago
- Parametric estimation of multivariate Hawkes processes with general kernels.☆14May 27, 2024Updated last year
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Sep 29, 2017Updated 8 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆54Aug 23, 2021Updated 4 years ago
- Estimation of the lead-lag parameter from non-synchronous data.☆136Apr 1, 2025Updated 11 months ago
- NordVPN Threat Protection Pro™ • AdTake your cybersecurity to the next level. Block phishing, malware, trackers, and ads. Lightweight app that works with all browsers.
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Apr 9, 2020Updated 5 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆38Oct 3, 2018Updated 7 years ago
- Code package to analyze high-frequency trading (HFT) races using financial-exchange message data, following Aquilina, Budish and O'Neill …☆47Nov 14, 2021Updated 4 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆38Jan 3, 2021Updated 5 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…☆73Jun 3, 2018Updated 7 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 9 years ago
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆14Jan 21, 2022Updated 4 years ago
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆13May 24, 2018Updated 7 years ago
- Mid price estimation in LOB using Markov model☆13May 11, 2022Updated 3 years ago
- DigitalOcean Gradient AI Platform • AdBuild production-ready AI agents using customizable tools or access multiple LLMs through a single endpoint. Create custom knowledge bases or connect external data.
- A general framework for learning spatio-temporal point processes via reinforcement learning☆30Jan 6, 2021Updated 5 years ago
- Kalman Filter, Smoother, and EM Algorithm for Python☆12Sep 4, 2023Updated 2 years ago
- A PyTorch Implementation of Neural Hawkes Process. Redefined.☆36Jul 14, 2020Updated 5 years ago
- A machine learning tool that implements the class of state-dependent Hawkes processes.☆34Jul 31, 2023Updated 2 years ago
- Minimalistic Uniswap-style automated berry market maker running on NEAR☆14Apr 26, 2021Updated 4 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆15Jul 17, 2023Updated 2 years ago
- Collection of Models related to market making☆17Jan 25, 2021Updated 5 years ago
- awesome reinforcement learning for trading domain☆12Nov 5, 2020Updated 5 years ago
- Efficient and seamless cross-process communication for Rust☆33Jul 19, 2025Updated 8 months ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting with the flexibility to host WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Cloudways by DigitalOcean.
- ☆11Dec 4, 2020Updated 5 years ago
- A repository of basic quantitative finance tools to be used on other projects☆11Mar 19, 2020Updated 6 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Jun 15, 2021Updated 4 years ago
- ☆16Jun 28, 2022Updated 3 years ago
- Orderflow trading bot based on BSI☆22Aug 14, 2024Updated last year
- ☆38Aug 2, 2021Updated 4 years ago
- Fear and volatility in crypto markets☆14Dec 8, 2022Updated 3 years ago
- Minimal implementation and experiments of "No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging".☆31May 26, 2021Updated 4 years ago
- The official repository for the paper Adversarial Inverse Reinforcement Learning for Market Making (2024) published and presented at the …☆33Dec 14, 2025Updated 3 months ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting with the flexibility to host WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Cloudways by DigitalOcean.
- a python package for simulation and inference of Hawkes processes.☆70Apr 1, 2021Updated 4 years ago
- Hardware-based tick counters for high-precision benchmarks in Rust☆27May 27, 2024Updated last year
- awesome-financial-networks☆39Jul 15, 2019Updated 6 years ago
- Implementation of PIN ( Probability of Informed trading) on A-Share daily public data (based on Yan Y, Zhang S. An improved estimation me…☆41Aug 19, 2020Updated 5 years ago
- A Spatio-temporal point process simulator.☆48May 27, 2023Updated 2 years ago
- ☆14Apr 16, 2022Updated 3 years ago
- AS model performance versus trivial delta for market-makers☆21Jan 13, 2022Updated 4 years ago