fiquant / marketsimulator
The project simulates a generic agent based market model. The aim is to explore intimately, by simulation, the process of price formation and the market microstructure.
☆65Updated 10 years ago
Alternatives and similar repositories for marketsimulator:
Users that are interested in marketsimulator are comparing it to the libraries listed below
- obAnalytics Shiny front-end☆75Updated 6 years ago
- Deep learning framework for HFT algorithmic trading strategy development☆73Updated 4 years ago
- Bitmex market microstructure analytics☆21Updated 4 years ago
- Scala OrderBook Reconstructor for high-frequency order-flow data☆16Updated last year
- Implementation of a Bayesian-style market maker in the vein of 'Intelligent Market-Making in Artificial Financial Markets' by Sanmay Das☆106Updated 9 years ago
- Volume-Synchronized Probability of Informed Trading☆111Updated 11 years ago
- Example of order book modeling.☆56Updated 5 years ago
- Limit Order Book Implemented in Python☆93Updated 7 years ago
- source : http://coin.wne.uw.edu.pl/pwojcik/hfd_en.html☆36Updated 6 years ago
- A Python module for market simulation☆23Updated 3 months ago
- Market Making / Stat Arb strategy☆61Updated 7 years ago
- Python library for high frequency portfolio analysis, intraday backtesting and optimization☆65Updated 7 years ago
- ☆49Updated 4 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆35Updated 3 years ago
- Probability of Backtest Overfitting☆48Updated 2 years ago
- A fast limit order book implementation in Python, inspired by voyager's winning 2011 QuantCup entry. (Also see kmanley/gorderbook, the Go…☆75Updated 4 years ago
- stores market data from cryptofeed to kdb+☆23Updated 4 years ago
- Financial security modelling with Python and QuantLib☆33Updated 11 years ago
- R package intended for visualisation, analysis and reconstruction of limit order book data☆156Updated 6 years ago
- Golub, Glattfelder and Olsen, ''The Alpha Engine: Designing an Automated Trading Algorithm''☆115Updated 7 years ago
- HFT, A high-frequency trading simulation package in R☆83Updated 7 years ago
- A Python toolkit for high-frequency trade research.☆40Updated 6 years ago
- Platform for backtesting and live-trading intraday Stock/ETF/ELW using recurrent neural networks☆42Updated 8 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆56Updated last year
- By means of stochastic volatility models☆44Updated 5 years ago
- Algo execution engine☆91Updated 9 years ago
- A model for forecasting stock volatility☆22Updated 8 years ago
- Python library to backtest trading strategies, plot charts (via Chartesians), seamlessly download market data, analyse market patterns et…☆26Updated last month
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆88Updated 9 months ago
- ☆113Updated 7 years ago