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:
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆92Updated 2 years ago
- Time Series Prediction of Volume in LOB☆58Updated last year
- Example of order book modeling.☆57Updated 6 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆32Updated 4 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆38Updated 4 years ago
- ☆53Updated 4 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆69Updated last year
- High-frequency trading in a limit order book☆59Updated 6 years ago
- Volume Weighted Average Price Optimal Execution☆42Updated 6 years ago
- Volume-Synchronized Probability of Informed Trading☆112Updated 12 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- Deep learning modelling of orderbooks☆101Updated 5 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆97Updated 4 years ago
- Backtest result archive for Momentum Trading Strategies☆64Updated 6 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆89Updated 4 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Repo for HFT project in CMF☆28Updated 2 years ago
- ☆120Updated 7 years ago
- Deep learning for price movement prediction using high frequency limit order data☆40Updated 7 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆69Updated 2 years ago
- Calibrates microprice model to BitMEX quote data☆60Updated 4 years ago
- Delta hedging under SABR model☆38Updated last year
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 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
- Code for the paper Volatility is (mostly) path-dependent☆69Updated last year
- Notes on Advances in Financial Machine Learning☆82Updated 6 years ago
- High Frequency Trading☆111Updated 7 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆29Updated 7 years ago