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

• alexbotsula / Price_direction_forecast
  ☆49Updated 6 years ago
• hudson-and-thames / arbitrage_research
  Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.
  ☆134Updated last year
• financialnoob / pairs_trading
  experiments with pair trading
  ☆326Updated 11 months ago
• javifalces / HFTFramework
  HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-ma…
  ☆272Updated 2 weeks ago
• hjeffreywang / Stock_feature_engineering
  Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…
  ☆74Updated 5 years ago
• KodAgge / Reinforcement-Learning-for-Market-Making
  Using tabular and deep reinforcement learning methods to infer optimal market making strategies
  ☆232Updated 2 years ago
• FinancialComputingUCL / LOBFrame
  We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.
  ☆206Updated last year
• bradleyboyuyang / Statistical-Arbitrage
  High-frequency statistical arbitrage
  ☆232Updated 2 years ago
• theopenstreet / VPIN_HFT
  ☆121Updated 7 years ago
• ArturSepp / StochVolModels
  Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…
  ☆191Updated 3 months ago
• jktis / Trade-Classification-Algorithms
  To classify trades into buyer- and seller-initiated.
  ☆154Updated 2 years ago
• sstoikov / microprice
  ☆424Updated 4 years ago
• jheusser / vpin
  Volume-Synchronized Probability of Informed Trading
  ☆112Updated 12 years ago
• s0ap / gs-quantitative-strategies-research-notes
  Collection of papers from the Goldman Sachs Quantitative Strategies Research Notes series (published in the '90s)
  ☆334Updated 2 weeks ago
• daehkim / pair-trading
  CS7641 Team project
  ☆97Updated 5 years ago
• nicolezattarin / LOB-feature-analysis
  Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.
  ☆242Updated 3 years ago
• keanekwa / Optiver-Ready-Trader-Go
  Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…
  ☆89Updated 2 years ago
• gregzanotti / dlsa-public
  Deep Learning Statistical Arbitrage
  ☆248Updated 3 years ago
• bradleyboyuyang / ML-HFT
  High frequency trading (HFT) framework built for futures using machine learning and deep learning techniques
  ☆527Updated 3 years ago
• shaileshkakkar / OrderImbalance
  Order Imbalance Strategy in High Frequency Trading
  ☆139Updated 7 years ago
• vicaws / arbitragerepair
  Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.
  ☆121Updated last year
• junsu489 / volatility_arbitrage
  volatility arbitrage in Heston model
  ☆64Updated 8 months ago
• tobiasbrodd / backtester
  An event-driven backtester
  ☆111Updated 5 years ago
• StateOfTheArt-quant / awesome-high-frequency-trading
  ☆139Updated 4 years ago
• jerryxyx / TreasuryFutureTrading
  A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change
  ☆79Updated 7 years ago
• mmssss / hft-market-making
  Implementation of HFT backtesting simulator and Stoikov strategy
  ☆138Updated 2 years ago
• clf110510 / stochastic-volatility
  three stochastic volatility model: Heston, SABR, SVI
  ☆91Updated 6 years ago
• MiaDor12 / Advanced_Feature_Engineering_of_Raw_Data_of_Stocks-with_PySpark
  Features and labels engineering of raw data of quotes of several stocks.
  ☆32Updated 6 years ago
• mdibo / Avellaneda-Stoikov
  Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov
  ☆151Updated 5 years ago
• jshellen / HFT
  High Frequency Market Making
  ☆601Updated 2 years ago