Alternatives and similar repositories for Market_MicroStructure_Models

Users that are interested in Market_MicroStructure_Models are comparing it to the libraries listed below

• sle14 / Options-market-making-using-a-stochastic-control-approach
  Derivation of analytical expressions of optimal quotes for market making in options.
  ☆20Updated 3 years ago
• Zhenfeng-Liang / FX_Modeling_N_Market_Making
  ☆11Updated 9 years ago
• joomong / HFT-Research
  Optimal high-frequency market making strategy
  ☆24Updated 9 months ago
• egorrazzhivin / HFT-Market-Making
  Market making strategies and scientific papers
  ☆13Updated 2 years ago
• kpuchalskixiv / Impact-of-market-microstructure-on-stock-price
  ☆17Updated 3 years ago
• pengxin123 / mth-9879
  Baruch course - Market Microstructure
  ☆14Updated 9 years ago
• FranklinMa810 / Market-Microstructure
  ☆24Updated 5 years ago
• mselser95 / optimal-market-making
  Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"
  ☆30Updated 4 years ago
• mindful-math / LOB-Modeling
  Collection of Models related to market making
  ☆18Updated 4 years ago
• michaelsyao / GammaScalping
  Option Strategy for Futures
  ☆15Updated 5 years ago
• rune-l / HighFrequency
  High Frequency Jump Prediction Project
  ☆39Updated 5 years ago
• xhshenxin / Micro_Price
  ☆52Updated 4 years ago
• dolmatovas / HFT
  Repo for HFT project in CMF
  ☆30Updated 2 years ago
• DYSIM / Avellaneda-Stoikov-Implementation
  An implementation of Avellaneda-Stoikov market making model after reading the seminal paper
  ☆31Updated 4 years ago
• armoreal / hft
  High Frequency Trading Strategies
  ☆49Updated 8 years ago
• gjimzhou / MTH9815-Trading-System
  A project of building and running a trading system according to service oriented architecture standard.
  ☆17Updated 7 years ago
• akhil2706 / PairsTrading
  A low frequency statistical arbitrage strategy
  ☆20Updated 6 years ago
• schepal / crypto_gamma_exposure
  A research project to study the gamma exposure of market-makers in Bitcoin option markets.
  ☆14Updated 5 years ago
• useric / MTH9879-Market-Microstructure-Models
  Baruch MFE 2019 Spring
  ☆40Updated 5 years ago
• factorpricingmodel / factor-pricing-model-risk-model
  Package to build risk model for factor pricing model
  ☆28Updated last year
• JackJacquier / SABR-Implied-Volatility
  SABR Implied volatility asymptotics
  ☆23Updated 5 years ago
• Weichong515 / Algo-Trading-14
  Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm
  ☆15Updated 6 years ago
• jeremymck / High-Frequency-Data---Limit-Order-Books
  Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.
  ☆50Updated 5 years ago
• yuba316 / SABR_Volatility_Arbitrage
  A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model
  ☆25Updated 2 years ago
• huangzz119 / OptimalExecution_stochastic_control
  This is for the capstone project "Optimal Execution of a VWAP order".
  ☆35Updated 5 years ago
• LianguangXue / VPIN
  Vpin caculation and backtesting
  ☆14Updated 6 years ago
• deandreee / medium_pairs_p1
  ☆13Updated 6 years ago
• thertrader / Using-random-forest-to-model-limit-order-book-dynamic
  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
• maxlamberti / optimal-order-execution
  Exploring Optimal Order Execution in Simulated Limit Order Books
  ☆20Updated 2 years ago
• r8m / MarketMaker
  Marketmaker trading strategy
  ☆28Updated 8 years ago