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 9 years ago
- Market making strategies and scientific papers☆13Updated last year
- High Frequency Trading Strategies☆42Updated 7 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- ☆15Updated 2 years ago
- Apply LASSO in High-Frequency-Trading☆9Updated 5 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆16Updated 2 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- ☆21Updated 5 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆32Updated 3 years ago
- High Frequency Jump Prediction Project☆35Updated 4 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆33Updated 5 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 3 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆12Updated 2 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- ☆49Updated 3 years ago
- AS model performance versus trivial delta for market-makers☆18Updated 3 years ago
- Collection of Models related to market making☆16Updated 4 years ago
- Phd repo☆16Updated 2 years ago
- Trading Strategy on S&P500 with different method (Linear Regression, XGBOOST, LSTM, HMM☆10Updated 4 years ago
- High Frequency Trading Strategy☆12Updated 6 years ago
- Basic Limit Order Book functions☆21Updated 6 years ago
- Optimal high-frequency market making strategy☆19Updated 4 months ago
- Vpin caculation and backtesting☆14Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- A research project to study the gamma exposure of market-makers in Bitcoin option markets.☆14Updated 4 years ago
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆8Updated 3 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆12Updated 2 years ago