comeh / LOB_AlgoTrading
Some codes used for the numerical examples proposed in https://hal.archives-ouvertes.fr/hal-01514987v2 and https://arxiv.org/abs/1705.01446
☆21Updated 6 years ago
Alternatives and similar repositories for LOB_AlgoTrading
Users that are interested in LOB_AlgoTrading are comparing it to the libraries listed below
Sorting:
- ☆27Updated this week
- AS model performance versus trivial delta for market-makers☆18Updated 3 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago
- ☆32Updated 3 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- ☆49Updated 4 years ago
- ☆21Updated 2 years ago
- Collection of Models related to market making☆17Updated 4 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆31Updated 3 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- Hawkes with Latency☆20Updated 4 years ago
- Package to build risk model for factor pricing model☆25Updated 9 months ago
- Market making strategies and scientific papers☆13Updated last year
- ☆17Updated 3 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
- Basic Limit Order Book functions☆21Updated 7 years ago
- ☆48Updated 7 years ago
- Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB☆36Updated 4 years ago
- ☆24Updated 2 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆47Updated 5 years ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆45Updated 3 weeks ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 4 years ago
- Modelling the implicit volatility, using multi-factor statistical models.☆15Updated 3 weeks ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- Baruch MFE 2019 Spring☆40Updated 4 years ago
- ☆22Updated 5 years ago
- Delta hedging under SABR model☆31Updated last year
- Code package to analyze high-frequency trading (HFT) races using financial-exchange message data, following Aquilina, Budish and O'Neill …☆46Updated 3 years ago
- Code to support my Master's thesis☆19Updated last year