Zhenfeng-Liang / Market_MicroStructure_Models
☆24Updated 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
- ☆11Updated 9 years ago
- Baruch course - Market Microstructure☆12Updated 8 years ago
- Market making strategies and scientific papers☆13Updated last year
- ☆19Updated 4 years ago
- ☆15Updated 2 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆31Updated 5 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆16Updated 2 years ago
- Vpin caculation and backtesting☆13Updated 5 years ago
- Optimal high-frequency market making strategy☆17Updated last month
- Basic Limit Order Book functions☆21Updated 6 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 5 years ago
- Phd repo☆16Updated 2 years ago
- High Frequency Trading Strategies☆41Updated 7 years ago
- High Frequency Jump Prediction Project☆35Updated 4 years ago
- Limit Orderbook Replay/Analysis Library☆9Updated 6 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆30Updated 3 years ago
- ☆47Updated 3 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- Apply LASSO in High-Frequency-Trading☆9Updated 5 years ago
- A low frequency statistical arbitrage strategy☆19Updated 5 years ago
- Building a High Frequency Trading Engine with Neural Networks☆12Updated 6 years ago
- XTX Forecasting Challenge https://challenge.xtxmarkets.com/☆9Updated 5 years ago
- Trading Strategy on S&P500 with different method (Linear Regression, XGBOOST, LSTM, HMM☆10Updated 4 years ago
- ☆13Updated last year
- Collection of numerical methods for high frequency data, in Python notebooks☆13Updated 3 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 3 years ago
- Collection of Models related to market making☆15Updated 3 years ago