egorrazzhivin / HFT-Market-MakingLinks
Market making strategies and scientific papers
☆13Updated 2 years ago
Alternatives and similar repositories for HFT-Market-Making
Users that are interested in HFT-Market-Making are comparing it to the libraries listed below
Sorting:
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆11Updated 4 years ago
- ☆24Updated 5 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆19Updated 3 years ago
- Collection of Models related to market making☆17Updated 4 years ago
- Option Strategy for Futures☆15Updated 5 years ago
- SABR Implied volatility asymptotics☆23Updated 5 years ago
- Collection of numerical methods for high frequency data, in Python notebooks☆13Updated 4 years ago
- ☆17Updated 3 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆29Updated 4 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆20Updated 2 years ago
- High Frequency Market Making: Optimal Quoting☆13Updated 2 years ago
- Modelling the implicit volatility, using multi-factor statistical models.☆20Updated 6 months ago
- ☆12Updated 4 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12Updated 4 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆14Updated 2 years ago
- Implementation of code snippets and exercises in the book Machine Learning for Asset Managers written by Prof. Marcos López de Prado.☆16Updated 5 years ago
- Order Book Imbalance trading strategy☆11Updated 2 years ago
- 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
- Calibration of a Surface SVI☆13Updated 6 years ago
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆17Updated last year
- Repo for HFT project in CMF☆29Updated 2 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Optimal high-frequency market making strategy☆24Updated 11 months ago
- Limit Orderbook CNN model implementation for ETH-BTC (buy-low-sell-high indicator)☆17Updated 2 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 4 years ago
- ☆12Updated 2 years ago
- My first high-frequency trading strategy using machine learning☆18Updated 3 years ago
- from for/if/else to my first option back-test function☆20Updated 5 years ago