hanxixuana / flowriskLinks
A Python Implementation of Measures for Order Flow Risk, e.g. VPIN
☆95Updated 4 years ago
Alternatives and similar repositories for flowrisk
Users that are interested in flowrisk are comparing it to the libraries listed below
Sorting:
- ☆117Updated 7 years ago
- Volume-Synchronized Probability of Informed Trading☆113Updated 11 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆92Updated last year
- ☆52Updated 4 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…☆71Updated 7 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆31Updated 4 years ago
- algo trading backtesting on BitMEX☆82Updated last year
- Calibrates microprice model to BitMEX quote data☆58Updated 4 years ago
- Example of order book modeling.☆58Updated 6 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆88Updated 2 years ago
- Notes on Advances in Financial Machine Learning☆80Updated 6 years ago
- Backtest result archive for Momentum Trading Strategies☆63Updated 6 years ago
- High-frequency trading in a limit order book☆60Updated 6 years ago
- Deep learning modelling of orderbooks☆97Updated 4 years ago
- High Frequency Trading☆110Updated 7 years ago
- Order Imbalance Strategy in High Frequency Trading☆139Updated 7 years ago
- Pair Trading Strategy using Machine Learning written in Python☆120Updated 3 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆105Updated 6 years ago
- Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning☆144Updated 5 years ago
- Limit Order Book Implemented in Python☆99Updated 7 years ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆71Updated 9 years ago
- High Frequency Trading Strategies☆49Updated 8 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- Build your own historical Limit Order Book dataset☆44Updated 4 years ago
- ☆141Updated 2 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆79Updated 7 years ago
- To classify trades into buyer- and seller-initiated.☆149Updated 2 years ago
- Replication of study Avellaneda, Marco, and Sasha Stoikov: High-frequency trading in a limit order book. Quantitative Finance 8.3 (2008):…☆92Updated 7 years ago
- Estimation of the lead-lag parameter from non-synchronous data.☆132Updated 5 months ago
- Robust Market Making via Adversarial Reinforcement Learning☆53Updated 5 years ago