Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data
☆38Jan 3, 2021Updated 5 years ago
Alternatives and similar repositories for EIE
Users that are interested in EIE are comparing it to the libraries listed below
Sorting:
- Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning☆148Dec 28, 2019Updated 6 years ago
- ☆34Aug 29, 2022Updated 3 years ago
- Mid price estimation in LOB using Markov model☆13May 11, 2022Updated 3 years ago
- Repo for HFT project in CMF☆28Jan 4, 2023Updated 3 years ago
- Algorithmic trading strategies research and execution platform☆59Updated this week
- ☆16Jun 28, 2022Updated 3 years ago
- Calibrates microprice model to BitMEX quote data☆63Jul 1, 2021Updated 4 years ago
- ☆127Dec 12, 2017Updated 8 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆28Apr 5, 2021Updated 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…☆73Jun 3, 2018Updated 7 years ago
- ☆38Aug 2, 2021Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Jun 15, 2021Updated 4 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆27Aug 29, 2020Updated 5 years ago
- High frequency trading bot for crypto currencies☆424Feb 7, 2022Updated 4 years ago
- Source code for the course "Deep Reinforcement Learning for High-Frequency Trading" held at the Ukrainian Catholic University / Czech Tec…☆20Sep 11, 2022Updated 3 years ago
- AS model performance versus trivial delta for market-makers☆21Jan 13, 2022Updated 4 years ago
- ☆436Jan 10, 2021Updated 5 years ago
- replication of micro-price on crytocurrency data☆10Feb 27, 2022Updated 4 years ago
- Phd repo☆18Jul 14, 2022Updated 3 years ago
- Hawkes with Latency☆20Jan 16, 2021Updated 5 years ago
- Example of order book modeling.☆57Jun 18, 2019Updated 6 years ago
- High Frequency Market Making☆613Sep 24, 2023Updated 2 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆144May 6, 2023Updated 2 years ago
- Study of price volume data to analyze an order imbalance strategy for Bitcoin on BitMEX platform☆12Dec 31, 2018Updated 7 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆17Jan 3, 2018Updated 8 years ago
- ☆55Apr 10, 2021Updated 4 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆24Dec 12, 2021Updated 4 years ago
- Application of VPIN in cyrptocurrency market.☆21Mar 16, 2019Updated 6 years ago
- Research project on applying deep reinforcement learning to perform financial market predictions. A competitive market maker.☆13Dec 8, 2022Updated 3 years ago
- Pytorch implementation of DeepLOB-ATT and DeepLOB-Seq2Seq from Multi Horizon Forecasting for Limit Order Books☆14Feb 4, 2023Updated 3 years ago
- Vpin caculation and backtesting☆14Aug 16, 2019Updated 6 years ago
- Avellaneda-Stoikov HFT market making algorithm implementation☆644Jul 6, 2023Updated 2 years ago
- Replication of study Avellaneda, Marco, and Sasha Stoikov: High-frequency trading in a limit order book. Quantitative Finance 8.3 (2008):…☆93Oct 30, 2017Updated 8 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆151May 9, 2020Updated 5 years ago
- A collection of homeworks of market microstructure models.☆279May 4, 2018Updated 7 years ago
- Limit Order Book Convolutional Neural Network trading bot☆14Jul 24, 2022Updated 3 years ago
- ☆42May 27, 2021Updated 4 years ago
- algorithmic trading backtest and optimization examples using order book imbalances. (bitcoin, cryptocurrency, bitmex, binance futures, ma…☆314Dec 4, 2023Updated 2 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