Alternatives and similar repositories for price-discovery

Users that are interested in price-discovery are comparing it to the libraries listed below

• jshellen / statarb
  ☆37Updated 4 years ago
• dolmatovas / HFT
  Repo for HFT project in CMF
  ☆28Updated 2 years ago
• mindful-math / LOB-Modeling
  Collection of Models related to market making
  ☆16Updated 4 years ago
• grayvalley / microprice-calibration
  Calibrates microprice model to BitMEX quote data
  ☆60Updated 4 years ago
• im1235 / EIE
  Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data
  ☆36Updated 4 years ago
• berkeaslan92 / AvellanedaStoikov
  AS model performance versus trivial delta for market-makers
  ☆21Updated 3 years ago
• xhshenxin / Micro_Price
  ☆53Updated 4 years ago
• DYSIM / Avellaneda-Stoikov-Implementation
  An implementation of Avellaneda-Stoikov market making model after reading the seminal paper
  ☆32Updated 4 years ago
• useric / MTH9879-Market-Microstructure-Models
  Baruch MFE 2019 Spring
  ☆43Updated 5 years ago
• theopenstreet / VPIN_HFT
  ☆121Updated 7 years ago
• joomong / HFT-Research
  Optimal high-frequency market making strategy
  ☆24Updated last year
• FranklinMa810 / Market-Microstructure
  ☆24Updated 5 years ago
• jifengthu / awesome_hft_factors
  ☆28Updated 3 years ago
• factorpricingmodel / factor-pricing-model-risk-model
  Package to build risk model for factor pricing model
  ☆27Updated last year
• shaileshkakkar / MicroPriceIndicator
  This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in…
  ☆72Updated 7 years ago
• koteyevlev / MarketMakingMLAlgo
  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
• armoreal / hft
  High Frequency Trading Strategies
  ☆48Updated 8 years ago
• lkrenn / Market-Making-With-Crypto
  Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs
  ☆34Updated 4 years ago
• kpuchalskixiv / Impact-of-market-microstructure-on-stock-price
  ☆15Updated 3 years ago
• wcskkk375 / CryptoBacktest
  a cpp framework for crypto currentcy tick data backtesting
  ☆17Updated 4 years ago
• jeremymck / High-Frequency-Data---Limit-Order-Books
  Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.
  ☆50Updated 5 years ago
• ZhangMian-CentraleSupelec / High-Frequency-Data-and-Limit-Order-Book
  ☆32Updated 3 years ago
• bylethquant / simple-data-stack
  A Practical Guide to a Simple Data Stack.
  ☆39Updated last year
• egorrazzhivin / HFT-Market-Making
  Market making strategies and scientific papers
  ☆14Updated 2 years ago
• keanekwa / Optiver-Ready-Trader-Go
  Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…
  ☆89Updated 2 years ago
• andrewlfc7 / BFX-BSI
  Orderflow trading bot based on BSI
  ☆21Updated last year
• vishnugovind10 / MarketMaking
  Market Making in Python
  ☆19Updated last year
• Jincheng-Gong / wing_model
  ORC wing model calibrator and simulator.
  ☆11Updated last year
• jshellen / CTA-strategies
  Backtest result archive for Momentum Trading Strategies
  ☆64Updated 6 years ago
• DavidCico / Factor-risk-model-with-principal-component-analysis
  This repository shows the application of PCA technique for risk factor modelling of financial securities.
  ☆21Updated 5 years ago