Alternatives and similar repositories for vwap_opt_exec

Users that are interested in vwap_opt_exec are comparing it to the libraries listed below

• mm842 / lobpy
  Python package for a class of tractable SPDE models for limit order book modeling
  ☆38Updated 4 years ago
• alexbotsula / XTX_Challenge
  Models and programs developed as part of XTX Forecastin Challenge 2019
  ☆27Updated 2 years ago
• yc3566 / Optimal-Trade-Execution-Algorithm-Market-Impact-Model
  2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)
  ☆18Updated 5 years ago
• HujiaYuYoyo / 448Project
  High Frequency Trading
  ☆110Updated 7 years ago
• xhshenxin / Micro_Price
  ☆53Updated 4 years ago
• felixpatzelt / priceprop
  Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.
  ☆25Updated 7 years ago
• Jackmzw / Price_Prediction_LOB
  Deep learning for price movement prediction using high frequency limit order data
  ☆40Updated 7 years ago
• maxlamberti / optimal-order-execution
  Exploring Optimal Order Execution in Simulated Limit Order Books
  ☆20Updated 2 years ago
• DYSIM / Avellaneda-Stoikov-Implementation
  An implementation of Avellaneda-Stoikov market making model after reading the seminal paper
  ☆32Updated 4 years ago
• hanxixuana / flowrisk
  A Python Implementation of Measures for Order Flow Risk, e.g. VPIN
  ☆97Updated 4 years ago
• rspadim / hft-avellaneda
  High-frequency trading in a limit order book
  ☆59Updated 6 years ago
• hudson-and-thames / meta-labeling
  Code base for the meta-labeling papers published with the Journal of Financial Data Science
  ☆92Updated 2 years ago
• lamres / orderbook_modeling
  Example of order book modeling.
  ☆58Updated 6 years ago
• philipperemy / lead-lag
  Estimation of the lead-lag parameter from non-synchronous data.
  ☆131Updated 6 months ago
• Weichong515 / Algo-Trading-14
  Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm
  ☆15Updated 6 years ago
• benzyx / tamit2019
  High Frequency Trading bot for 2019 Traders at MIT, HFT Case. I placed 4th in the HFT competition (2nd overall) out of 120.
  ☆19Updated 5 years ago
• jshellen / CTA-strategies
  Backtest result archive for Momentum Trading Strategies
  ☆65Updated 6 years ago
• huangzz119 / OptimalExecution_stochastic_control
  This is for the capstone project "Optimal Execution of a VWAP order".
  ☆35Updated 5 years ago
• fushuyue / Ml_HFT
  Price Prediction with Machine Learning Models (practicum project at CME group)
  ☆70Updated 9 years ago
• jeremymck / High-Frequency-Data---Limit-Order-Books
  Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.
  ☆50Updated 5 years ago
• enjine-com / mcos
  Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"
  ☆58Updated 2 years ago
• tspooner / rmm.arl
  Robust Market Making via Adversarial Reinforcement Learning
  ☆52Updated 5 years ago
• lorenzolucchese / deepOBs
  The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.
  ☆53Updated 2 years ago
• theopenstreet / VPIN_HFT
  ☆119Updated 7 years ago
• quantrocket-codeload / pairs-pipeline
  Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …
  ☆35Updated last year
• cankav / smobd
  Replication of A Stochastic Model for Order Book Dynamics by Cont, Stoikov, and Talreja, 2010
  ☆21Updated 6 years ago
• ksemianov / TradingGym
  OpenAI Gym Environment for Low-Latency Trading
  ☆18Updated 7 years ago
• KangOxford / Volume-Forecasting
  Time Series Prediction of Volume in LOB
  ☆58Updated last year
• jheusser / vpin
  Volume-Synchronized Probability of Informed Trading
  ☆113Updated 12 years ago
• yinsenm / gerber
  Gerber robust statistics for portfolio optimization
  ☆62Updated 3 years ago