chrischia06 / XTXForecastingChallenge
XTX Forecasting Challenge https://challenge.xtxmarkets.com/
☆9Updated 5 years ago
Alternatives and similar repositories for XTXForecastingChallenge:
Users that are interested in XTXForecastingChallenge are comparing it to the libraries listed below
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆27Updated 4 years ago
- ☆13Updated last year
- Models and programs developed as part of XTX Forecastin Challenge 2019☆25Updated last year
- Market making strategies and scientific papers☆13Updated last year
- Collection of Models related to market making☆15Updated 4 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- Hawkes with Latency☆19Updated 4 years ago
- Create a mid-price classifier for limit order books using a CNN and LSTM☆14Updated 4 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- ☆29Updated 3 years ago
- These are trading results and arbitrage models from Southern China Center for Statistical Science (SC2S2), Sun Yat-sen University☆17Updated 6 years ago
- Basic Limit Order Book functions☆21Updated 6 years ago
- ☆19Updated 5 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- Exercises in 'Advances in Financial Machine Learning' by Lopez de Prado☆3Updated last year
- Exploring Optimal Order Execution in Simulated Limit Order Books☆16Updated 2 years ago
- ☆47Updated 3 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- Bitmex market microstructure analytics☆20Updated 3 years ago
- Baruch MFE 2019 Spring☆36Updated 4 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆14Updated 3 years ago
- Zakamouline optimal delta hedging strategy python implementation.☆13Updated 2 years ago
- High Frequency Jump Prediction Project☆35Updated 4 years ago
- AS model performance versus trivial delta for market-makers☆18Updated 3 years ago
- Package to build risk model for factor pricing model☆24Updated 6 months ago
- Building a High Frequency Trading Engine with Neural Networks☆12Updated 6 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆28Updated last year
- 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
- Some codes used for the numerical examples proposed in https://hal.archives-ouvertes.fr/hal-01514987v2 and https://arxiv.org/abs/1705.014…☆19Updated 5 years ago
- Modelling the implicit volatility, using multi-factor statistical models.☆12Updated 6 months ago