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 5 years ago
Alternatives and similar repositories for LOB_AlgoTrading:
Users that are interested in LOB_AlgoTrading are comparing it to the libraries listed below
- ☆25Updated this week
- ☆49Updated 4 years ago
- Hawkes with Latency☆20Updated 4 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- Collection of Models related to market making☆16Updated 4 years ago
- 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
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- ☆21Updated 2 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- ☆31Updated 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
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- ☆21Updated 5 years ago
- Baruch MFE 2019 Spring☆39Updated 4 years ago
- ☆48Updated 7 years ago
- Market making strategies and scientific papers☆13Updated last year
- ☆24Updated 2 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
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 5 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆47Updated 5 years ago
- XTX Forecasting Challenge https://challenge.xtxmarkets.com/☆9Updated 5 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆18Updated 2 years ago
- High Frequency Jump Prediction Project☆36Updated 4 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆32Updated 2 years ago
- ☆17Updated 3 years ago
- A model simulation shows how pairs trading could be used for two S&P500 traded stocks. It proofs that the strategy is successful on real…☆25Updated 4 years ago
- These are trading results and arbitrage models from Southern China Center for Statistical Science (SC2S2), Sun Yat-sen University☆18Updated 6 years ago
- High Frequency Trading Strategies☆44Updated 7 years ago
- Basic Limit Order Book functions☆21Updated 7 years ago