cankav / smobd
Replication of A Stochastic Model for Order Book Dynamics by Cont, Stoikov, and Talreja, 2010
☆18Updated 6 years ago
Alternatives and similar repositories for smobd:
Users that are interested in smobd are comparing it to the libraries listed below
- Python package for a class of tractable SPDE models for limit order book modeling☆35Updated 3 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- ☆49Updated 4 years ago
- High Frequency Trading Strategies☆43Updated 7 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆44Updated 5 years ago
- Literature survey of order execution strategies implemented in python☆42Updated 4 years ago
- Models and programs developed as part of XTX Forecastin Challenge 2019☆26Updated last year
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆27Updated 3 years ago
- AS model performance versus trivial delta for market-makers☆18Updated 3 years ago
- Calibrates microprice model to BitMEX quote data☆56Updated 3 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆89Updated 4 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆83Updated 4 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆63Updated 5 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 4 years ago
- ☆112Updated 7 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 5 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆32Updated 3 years ago
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆14Updated last year
- A low frequency statistical arbitrage strategy☆19Updated 6 years ago
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆55Updated 2 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆33Updated 5 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆79Updated 2 years ago
- algo trading backtesting on BitMEX☆76Updated last year
- High Frequency Jump Prediction Project☆36Updated 4 years ago
- ☆31Updated 3 years ago
- Optimal high-frequency market making strategy☆20Updated 4 months ago
- Volume Weighted Average Price Optimal Execution☆41Updated 6 years ago
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆29Updated last year