Phd repo
☆18Jul 14, 2022Updated 3 years ago
Alternatives and similar repositories for alpha_avellaneda_stoikov
Users that are interested in alpha_avellaneda_stoikov are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- AS model performance versus trivial delta for market-makers☆21Jan 13, 2022Updated 4 years ago
- ☆11Nov 6, 2018Updated 7 years ago
- We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cos…☆11Apr 8, 2020Updated 6 years ago
- A market making algorithm based on the Avellaneda Stoikov paper on Deribit derivatives exchange. A gradient boosted model is used for vol…☆23Feb 2, 2025Updated last year
- Repo for HFT project in CMF☆29Jan 4, 2023Updated 3 years ago
- Bare Metal GPUs on DigitalOcean Gradient AI • AdPurpose-built for serious AI teams training foundational models, running large-scale inference, and pushing the boundaries of what's possible.
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆29Apr 5, 2021Updated 5 years ago
- Vpin caculation and backtesting☆14Aug 16, 2019Updated 6 years ago
- Market making strategies and scientific papers☆14Aug 20, 2023Updated 2 years ago
- ☆11Dec 18, 2015Updated 10 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆24Dec 12, 2021Updated 4 years ago
- Process tardis.dev cryptocurrency data, reconstructing the market depth and computing imbalance.☆20May 3, 2021Updated 4 years ago
- Implementation of Avellaneda and Stoikov's High-Frequency Trading Model in a Limit Order Book Context☆24Feb 20, 2025Updated last year
- Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning☆152Dec 28, 2019Updated 6 years ago
- ☆15Jun 10, 2020Updated 5 years ago
- Managed Database hosting by DigitalOcean • AdPostgreSQL, MySQL, MongoDB, Kafka, Valkey, and OpenSearch available. Automatically scale up storage and focus on building your apps.
- Order Book Imbalance trading strategy☆10Nov 21, 2022Updated 3 years ago
- A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading☆21May 4, 2021Updated 4 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆146May 6, 2023Updated 2 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆12Jul 10, 2021Updated 4 years ago
- Develop about 200 alpha factors from securities report etc, Grid Search/Random Search/Particle Swarm Optimization to improve factors perf…☆23Jul 29, 2018Updated 7 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆18Jan 21, 2019Updated 7 years ago
- High-frequency trading in a limit order book☆60Apr 15, 2019Updated 7 years ago
- robotRay is a python robo trader bot for several strategies including: 1) naked puts based on a simple vega crush algo, 2) golden cross. …☆14Aug 27, 2021Updated 4 years ago
- Financial time-series forecasting has long been a challenging problem because of the inherently noisy and stochastic nature of the market…☆16Aug 30, 2021Updated 4 years ago
- Simple, predictable pricing with DigitalOcean hosting • AdAlways know what you'll pay with monthly caps and flat pricing. Enterprise-grade infrastructure trusted by 600k+ customers.
- SABR Implied volatility asymptotics☆24May 22, 2020Updated 5 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆39Jan 3, 2021Updated 5 years ago
- A research project to study the gamma exposure of market-makers in Bitcoin option markets.☆16Sep 12, 2020Updated 5 years ago
- Backtesting tool on tick data☆11Jan 30, 2017Updated 9 years ago
- ☆144Dec 8, 2022Updated 3 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆35Nov 3, 2021Updated 4 years ago
- ☆68Apr 10, 2021Updated 5 years ago
- Deep learning modelling of orderbooks☆101Oct 8, 2020Updated 5 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Jun 15, 2021Updated 4 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆26Dec 26, 2022Updated 3 years ago
- Option Strategy for Futures☆18Jul 29, 2020Updated 5 years ago
- Fear and volatility in crypto markets☆14Dec 8, 2022Updated 3 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆153May 9, 2020Updated 5 years ago
- Trading Strategy on S&P500 with different method (Linear Regression, XGBOOST, LSTM, HMM☆10May 11, 2020Updated 5 years ago
- High Frequency Trading Strategy☆12Dec 20, 2018Updated 7 years ago
- ☆216Sep 27, 2017Updated 8 years ago