im1235 / ISACLinks
Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning
☆142Updated 5 years ago
Alternatives and similar repositories for ISAC
Users that are interested in ISAC are comparing it to the libraries listed below
Sorting:
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆148Updated 5 years ago
- ☆117Updated 7 years ago
- Order Imbalance Strategy in High Frequency Trading☆138Updated 7 years ago
- algo trading backtesting on BitMEX☆80Updated last year
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆216Updated 2 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆131Updated 2 years ago
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆170Updated 5 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆31Updated 4 years ago
- Calibrates microprice model to BitMEX quote data☆59Updated 4 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆93Updated 4 years ago
- ☆140Updated 2 years ago
- Collect BinanceFutures's trade and orderbook(depth) feeds.☆103Updated last year
- 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
- ☆52Updated 4 years ago
- High-frequency statistical arbitrage☆212Updated 2 years ago
- HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-ma…☆250Updated 2 weeks ago
- Limit Order Book data analysis and modeling using LSTM network☆138Updated 6 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆85Updated 2 years ago
- Volume-Synchronized Probability of Informed Trading☆113Updated 11 years ago
- High performance trading Matching Engine / Market Simulator using Level 3 Market Data for realistic simulation of High Frequency Trading …☆114Updated last year
- Replication of study Avellaneda, Marco, and Sasha Stoikov: High-frequency trading in a limit order book. Quantitative Finance 8.3 (2008):…☆91Updated 7 years ago
- Pair Trading Strategy using Machine Learning written in Python☆120Updated 3 years ago
- Deep learning modelling of orderbooks☆97Updated 4 years ago
- A collection of homeworks of market microstructure models.☆253Updated 7 years ago
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆233Updated 3 years ago
- High Frequency Trading☆109Updated 7 years ago
- 非平衡订单流高频交易模型☆111Updated 6 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆87Updated 4 years ago
- Notes on Advances in Financial Machine Learning☆80Updated 6 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆92Updated last year