gjimzhou / MTH9879-Market-Microstructure-ModelsView external linksLinks
A collection of homeworks of market microstructure models.
☆278May 4, 2018Updated 7 years ago
Alternatives and similar repositories for MTH9879-Market-Microstructure-Models
Users that are interested in MTH9879-Market-Microstructure-Models are comparing it to the libraries listed below
Sorting:
- ☆49Jun 16, 2019Updated 6 years ago
- Volume-Synchronized Probability of Informed Trading☆113Oct 13, 2013Updated 12 years ago
- Baruch MFE 2019 Spring☆43May 29, 2020Updated 5 years ago
- Baruch course - Market Microstructure☆14Feb 2, 2016Updated 10 years ago
- ☆25Dec 18, 2015Updated 10 years ago
- High Frequency Market Making☆611Sep 24, 2023Updated 2 years ago
- ☆123Dec 12, 2017Updated 8 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆75May 23, 2020Updated 5 years ago
- ☆24Jan 26, 2020Updated 6 years ago
- Avellaneda-Stoikov HFT market making algorithm implementation☆640Jul 6, 2023Updated 2 years ago
- HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-ma…☆287Feb 1, 2026Updated last week
- High frequency trading (HFT) framework built for futures using machine learning and deep learning techniques☆553Sep 20, 2022Updated 3 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆17Jan 3, 2018Updated 8 years ago
- ☆11Dec 18, 2015Updated 10 years ago
- Baruch MFE MTH9894☆13Jun 4, 2017Updated 8 years ago
- ☆434Jan 10, 2021Updated 5 years ago
- High frequency trading bot for crypto currencies☆425Feb 7, 2022Updated 4 years ago
- Calibrates microprice model to BitMEX quote data☆64Jul 1, 2021Updated 4 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆31Apr 30, 2020Updated 5 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆38Jan 3, 2021Updated 5 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆25Dec 9, 2017Updated 8 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆144May 6, 2023Updated 2 years ago
- MFM workshop project☆14Jan 25, 2021Updated 5 years ago
- Providing the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Ti…☆2,216Aug 27, 2022Updated 3 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆92May 19, 2023Updated 2 years ago
- Sharing quantitative analyses on Crypto Lake data☆73Sep 2, 2024Updated last year
- Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning☆147Dec 28, 2019Updated 6 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆237Jun 29, 2023Updated 2 years ago
- High-frequency statistical arbitrage☆244Jul 30, 2023Updated 2 years ago
- simple crypto market maker☆597Feb 3, 2026Updated last week
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆253Apr 12, 2022Updated 3 years ago
- toolbox of fast mm-related funcs☆226Jan 19, 2026Updated 3 weeks ago
- Time Series Prediction of Volume in LOB☆60Apr 17, 2024Updated last year
- experiments with pair trading☆332Dec 10, 2024Updated last year
- HFT signals on GDAX☆117Dec 13, 2017Updated 8 years ago
- ☆209Mar 29, 2023Updated 2 years ago
- AS model performance versus trivial delta for market-makers☆21Jan 13, 2022Updated 4 years ago
- Binance cash-and-carry arbitrage bot☆77Dec 31, 2022Updated 3 years ago
- Features and labels engineering of raw data of quotes of several stocks.☆32Oct 9, 2019Updated 6 years ago