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:
- ☆11Updated 9 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆32Updated 4 years ago
- ☆53Updated 4 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆19Updated 3 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆29Updated 4 years ago
- Optimal high-frequency market making strategy☆24Updated 11 months ago
- Baruch course - Market Microstructure☆14Updated 9 years ago
- High Frequency Jump Prediction Project☆39Updated 5 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆20Updated 2 years ago
- Market making strategies and scientific papers☆13Updated 2 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆30Updated 5 years ago
- ☆24Updated 5 years ago
- ☆17Updated 3 years ago
- High Frequency Trading Strategies☆48Updated 8 years ago
- Option Strategy for Futures☆16Updated 5 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆17Updated 7 years ago
- Baruch MFE 2019 Spring☆41Updated 5 years ago
- Collection of Models related to market making☆17Updated 4 years ago
- Repo for HFT project in CMF☆29Updated 2 years ago
- ☆38Updated 4 years ago
- Basic Limit Order Book functions☆22Updated 7 years ago
- High Frequency Trading bot for 2019 Traders at MIT, HFT Case. I placed 4th in the HFT competition (2nd overall) out of 120.☆19Updated 5 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- 2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)☆18Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- Example of order book modeling.☆58Updated 6 years ago
- MFM workshop project☆12Updated 4 years ago
- ☆12Updated 2 years ago
- Package to build risk model for factor pricing model☆27Updated last year
- Time Series Prediction of Volume in LOB☆58Updated last year