ZhangMian-CentraleSupelec / High-Frequency-Data-and-Limit-Order-Book
☆12Updated 2 years ago
Related projects: ⓘ
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆32Updated 3 years ago
- a cpp framework for crypto currentcy tick data backtesting☆15Updated 3 years ago
- ☆26Updated 3 years ago
- Repo for HFT project in CMF☆25Updated last year
- Repository for market making ideas☆33Updated 4 months ago
- Application of VPIN in cyrptocurrency market.☆20Updated 5 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆25Updated 3 years ago
- ☆46Updated 3 years ago
- ☆20Updated last year
- Calibrates microprice model to BitMEX quote data☆53Updated 3 years ago
- Example of order book modeling.☆55Updated 5 years ago
- ☆15Updated 2 years ago
- A Practical Guide to a Simple Data Stack.☆24Updated last week
- Market making strategies and scientific papers☆12Updated last year
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆26Updated 2 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆24Updated 3 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆15Updated last year
- Collection of Models related to market making☆14Updated 3 years ago
- Examples of nautilus script☆19Updated last month
- Phd repo☆16Updated 2 years ago
- Algorithmic trading strategies research and execution platform☆18Updated 3 months ago
- AS model performance versus trivial delta for market-makers☆17Updated 2 years ago
- Package to build risk model for factor pricing model☆20Updated last month
- Process tardis.dev cryptocurrency data, reconstructing the market depth and computing imbalance.☆18Updated 3 years ago
- Sharing quantitative analyses on Crypto Lake data☆52Updated 2 weeks ago
- ☆15Updated 3 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆48Updated 4 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 6 years ago
- Apply LASSO in High-Frequency-Trading☆9Updated 5 years ago
- ☆22Updated 8 years ago