cfzvzv / alpha_avellaneda_stoikov
Phd repo
☆16Updated 2 years ago
Related projects ⓘ
Alternatives and complementary repositories for alpha_avellaneda_stoikov
- Repo for HFT project in CMF☆26Updated last year
- AS model performance versus trivial delta for market-makers☆17Updated 2 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆28Updated 3 years ago
- Collection of Models related to market making☆14Updated 3 years ago
- ☆26Updated 3 years ago
- Market making strategies and scientific papers☆12Updated last year
- ☆18Updated 4 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
- Market Making in Python☆12Updated 7 months ago
- Process tardis.dev cryptocurrency data, reconstructing the market depth and computing imbalance.☆19Updated 3 years ago
- ☆15Updated 2 years ago
- A low frequency statistical arbitrage strategy☆18Updated 5 years ago
- Vpin caculation and backtesting☆13Updated 5 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 5 years ago
- Modelling for price change forecast using High-frequency Trading limit order book dynamics using ML algorithms☆24Updated 6 years ago
- Repository for market making ideas☆37Updated 6 months ago
- Using reinforcement learning to make markets in the high frequency trading setting.☆10Updated 5 months ago
- Trading Strategy on S&P500 with different method (Linear Regression, XGBOOST, LSTM, HMM☆10Updated 4 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆28Updated 3 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆33Updated 3 years ago
- ☆46Updated 3 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆15Updated last year
- ☆13Updated last year
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- Application of VPIN in cyrptocurrency market.☆20Updated 5 years ago
- ☆15Updated 4 years ago
- Package to build risk model for factor pricing model☆24Updated 3 months ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 3 years ago
- Develop about 200 alpha factors from securities report etc, Grid Search/Random Search/Particle Swarm Optimization to improve factors perf…☆18Updated 6 years ago
- ☆11Updated 6 years ago