im1235 / ISAC
Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning
☆139Updated 5 years ago
Alternatives and similar repositories for ISAC:
Users that are interested in ISAC are comparing it to the libraries listed below
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆139Updated 4 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆187Updated last year
- Implementation of HFT backtesting simulator and Stoikov strategy☆114Updated last year
- This repository is for the demonstration of our work, "Market Making with Deep Reinforcement Learning from Limit Order Books"☆56Updated last year
- Order Imbalance Strategy in High Frequency Trading☆129Updated 6 years ago
- Deep learning modelling of orderbooks☆95Updated 4 years ago
- ☆112Updated 7 years ago
- Limit Order Book data analysis and modeling using LSTM network☆136Updated 6 years ago
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆210Updated 3 years ago
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆155Updated 5 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆89Updated 4 years ago
- ☆198Updated 2 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆104Updated 2 years ago
- algo trading backtesting on BitMEX☆76Updated last year
- Calibrates microprice model to BitMEX quote data☆56Updated 3 years ago
- ☆138Updated 2 years ago
- Deep Q-Learning for Market Making☆120Updated 6 years ago
- Volume-Synchronized Probability of Informed Trading☆111Updated 11 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆71Updated last year
- mbt_gym is a module which provides a suite of gym environments for training reinforcement learning (RL) agents to solve model-based high-…☆157Updated last year
- Market Making via Reinforcement Learning☆320Updated 5 years ago
- Collect BinanceFutures's trade and orderbook(depth) feeds.☆104Updated 8 months ago
- High-frequency statistical arbitrage☆179Updated last year
- A collection of homeworks of market microstructure models.☆229Updated 6 years ago
- High-frequency trading in a limit order book☆58Updated 5 years ago
- Analysis of High Frequency Trading on Bitcoin exchanges☆156Updated 7 years ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆67Updated 8 years ago
- HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-ma…☆228Updated 3 weeks ago
- 非平衡订单流高频交易模型☆108Updated 6 years ago