dolmatovas / HFTLinks
Repo for HFT project in CMF
☆29Updated 3 years ago
Alternatives and similar repositories for HFT
Users that are interested in HFT are comparing it to the libraries listed below
Sorting:
- ☆39Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Updated 4 years ago
- AS model performance versus trivial delta for market-makers☆21Updated 4 years ago
- High Frequency Trading Strategies☆49Updated 8 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆38Updated 5 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆31Updated 4 years ago
- ☆55Updated 4 years ago
- Calibrates microprice model to BitMEX quote data☆64Updated 4 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆35Updated 4 years ago
- Collection of Models related to market making☆17Updated 5 years ago
- This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in…☆73Updated 7 years ago
- ☆24Updated 6 years ago
- Example of order book modeling.☆58Updated 6 years ago
- ☆16Updated 3 years ago
- Optimal high-frequency market making strategy☆27Updated last year
- High Frequency Jump Prediction Project☆38Updated 5 years ago
- Repository for market making ideas☆43Updated last year
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆37Updated last year
- replication of micro-price on crytocurrency data☆10Updated 3 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- Time Series Prediction of Volume in LOB☆60Updated last year
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- high-frequency grid trading strategy backtesting for binance futures☆26Updated 3 years ago
- ☆123Updated 8 years ago
- Baruch MFE 2019 Spring☆43Updated 5 years ago
- Package to build risk model for factor pricing model☆28Updated last year
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆72Updated last year
- Mid price estimation in LOB using Markov model☆13Updated 3 years ago
- Market making strategy example☆28Updated 4 years ago
- Dynamic portfolio optimization☆31Updated 2 years ago