berkeaslan92 / AvellanedaStoikovLinks
AS model performance versus trivial delta for market-makers
☆21Updated 3 years ago
Alternatives and similar repositories for AvellanedaStoikov
Users that are interested in AvellanedaStoikov are comparing it to the libraries listed below
Sorting:
- ☆38Updated 4 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
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Updated 4 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆35Updated 4 years ago
- Collection of Models related to market making☆17Updated 4 years ago
- High Frequency Trading Strategies☆48Updated 8 years ago
- high-frequency grid trading strategy backtesting for binance futures☆25Updated 3 years ago
- Optimal high-frequency market making strategy☆25Updated last year
- Calibrates microprice model to BitMEX quote data☆61Updated 4 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- ☆24Updated 5 years ago
- High Frequency Market Making: Optimal Quoting☆13Updated 2 years ago
- Example of order book modeling.☆58Updated 6 years ago
- Market Making in Python☆19Updated last year
- ☆53Updated 4 years ago
- algo trading backtesting on BitMEX☆81Updated 2 years ago
- A model simulation shows how pairs trading could be used for two S&P500 traded stocks. It proofs that the strategy is successful on real…☆27Updated 5 years ago
- ☆30Updated 3 years ago
- Market making strategies and scientific papers☆14Updated 2 years ago
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆18Updated 2 years ago
- Process tardis.dev cryptocurrency data, reconstructing the market depth and computing imbalance.☆20Updated 4 years ago
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆36Updated last year
- Repository for market making ideas☆43Updated last year
- High-frequency trading in a limit order book☆59Updated 6 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆29Updated 4 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆37Updated 4 years ago
- This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in…☆72Updated 7 years ago
- Market making strategy example☆28Updated 4 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆70Updated last year