alexbotsula / XTX_ChallengeLinks
Models and programs developed as part of XTX Forecastin Challenge 2019
☆27Updated 2 years ago
Alternatives and similar repositories for XTX_Challenge
Users that are interested in XTX_Challenge are comparing it to the libraries listed below
Sorting:
- Time Series Prediction of Volume in LOB☆59Updated last year
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆96Updated 2 years ago
- ☆53Updated 4 years ago
- Example of order book modeling.☆58Updated 6 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆38Updated 4 years ago
- Deep learning for price movement prediction using high frequency limit order data☆39Updated 7 years ago
- ☆123Updated 8 years ago
- Volume-Synchronized Probability of Informed Trading☆113Updated 12 years ago
- Volume Weighted Average Price Optimal Execution☆42Updated 6 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆70Updated last year
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆24Updated 7 years ago
- High Frequency Trading☆110Updated 7 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆97Updated 5 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆31Updated 4 years ago
- ☆38Updated 4 years ago
- Calibrates microprice model to BitMEX quote data☆61Updated 4 years ago
- Baruch MFE 2019 Spring☆44Updated 5 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆59Updated 2 years ago
- Research Repo (Archive)☆74Updated 5 years ago
- Deep learning modelling of orderbooks☆101Updated 5 years ago
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆36Updated last year
- Code for the paper Volatility is (mostly) path-dependent☆71Updated last year
- High-frequency trading in a limit order book☆59Updated 6 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆123Updated last year
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 7 years ago