im1235 / EIELinks
Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data
☆38Updated 5 years ago
Alternatives and similar repositories for EIE
Users that are interested in EIE are comparing it to the libraries listed below
Sorting:
- ☆39Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Updated 4 years ago
- Repo for HFT project in CMF☆29Updated 3 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…☆73Updated 7 years ago
- Calibrates microprice model to BitMEX quote data☆63Updated 4 years ago
- Repository for market making ideas☆43Updated last year
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆35Updated 4 years ago
- a cpp framework for crypto currentcy tick data backtesting☆18Updated 4 years ago
- ☆55Updated 4 years ago
- ☆123Updated 8 years ago
- algo trading backtesting on BitMEX☆80Updated 2 years ago
- Example of order book modeling.☆58Updated 6 years ago
- AS model performance versus trivial delta for market-makers☆21Updated 4 years ago
- ☆33Updated 3 years ago
- High Frequency Trading Strategies☆49Updated 8 years ago
- A Practical Guide to a Simple Data Stack.☆41Updated last year
- Application of VPIN in cyrptocurrency market.☆21Updated 6 years ago
- Market Making in Python☆19Updated last year
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆98Updated last year
- Market making strategy example☆28Updated 4 years ago
- High-frequency trading in a limit order book☆59Updated 6 years ago
- Volume-Synchronized Probability of Informed Trading☆113Updated 12 years ago
- replication of micro-price on crytocurrency data☆10Updated 3 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆97Updated 5 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆151Updated 5 years ago
- Sharing quantitative analyses on Crypto Lake data☆72Updated last year
- Mid price estimation in LOB using Markov model☆12Updated 3 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆31Updated 4 years ago
- high-frequency grid trading strategy backtesting for binance futures☆25Updated 3 years ago
- ☆16Updated 3 years ago