cankav / smobdLinks
Replication of A Stochastic Model for Order Book Dynamics by Cont, Stoikov, and Talreja, 2010
☆19Updated 6 years ago
Alternatives and similar repositories for smobd
Users that are interested in smobd are comparing it to the libraries listed below
Sorting:
- Python package for a class of tractable SPDE models for limit order book modeling☆35Updated 4 years ago
- ☆50Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆31Updated 4 years ago
- High Frequency Trading☆109Updated 7 years ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆70Updated 9 years ago
- Calibrates microprice model to BitMEX quote data☆57Updated 4 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆29Updated 3 years ago
- High Frequency Analysis Based On Level-2 Data（Limit Order Book& Transaction Data)☆106Updated last year
- Implementation of HFT backtesting simulator and Stoikov strategy☆126Updated 2 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆83Updated 4 years ago
- ☆114Updated 7 years ago
- ☆26Updated 2 years ago
- High Frequency Trading Strategies☆46Updated 7 years ago
- Deep learning modelling of orderbooks☆95Updated 4 years ago
- Models and programs developed as part of XTX Forecastin Challenge 2019☆26Updated 2 years ago
- AS model performance versus trivial delta for market-makers☆20Updated 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
- Literature survey of order execution strategies implemented in python☆44Updated 4 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆122Updated 5 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…☆70Updated 7 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆145Updated 5 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆49Updated 5 years ago
- Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning☆141Updated 5 years ago
- ☆201Updated 2 years ago
- algo trading backtesting on BitMEX☆78Updated last year
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆31Updated last year
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆34Updated 3 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆51Updated 3 years ago
- Replication of study Avellaneda, Marco, and Sasha Stoikov: High-frequency trading in a limit order book. Quantitative Finance 8.3 (2008):…☆90Updated 7 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago