Zhenfeng-Liang / Market_MicroStructure_ModelsLinks
☆25Updated 9 years ago
Alternatives and similar repositories for Market_MicroStructure_Models
Users that are interested in Market_MicroStructure_Models are comparing it to the libraries listed below
Sorting:
- ☆17Updated 3 years ago
- Repo for HFT project in CMF☆29Updated 2 years ago
- ☆11Updated 9 years ago
- ☆24Updated 5 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆19Updated 3 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆32Updated 4 years ago
- ☆52Updated 4 years ago
- High Frequency Jump Prediction Project☆39Updated 5 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆17Updated 7 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆29Updated 4 years ago
- Baruch course - Market Microstructure☆14Updated 9 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆35Updated 5 years ago
- Optimal high-frequency market making strategy☆24Updated 10 months ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆20Updated 2 years ago
- High Frequency Trading Strategies☆48Updated 8 years ago
- Market making strategies and scientific papers☆13Updated 2 years ago
- MFM workshop project☆12Updated 4 years ago
- ☆36Updated 4 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- Collection of Models related to market making☆17Updated 4 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- Literature survey of order execution strategies implemented in python☆44Updated 5 years ago
- High Frequency Market Making: Optimal Quoting☆13Updated 2 years ago
- AS model performance versus trivial delta for market-makers☆20Updated 3 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆34Updated 3 years ago
- Basic Limit Order Book functions☆22Updated 7 years ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Updated 3 years ago
- Calibrates microprice model to BitMEX quote data☆61Updated 4 years ago