jeromeku / cryptocurrency-derivatives-pricing-and-delta-neutral-volatility-tradingLinks
This project is to download and analyze cryptocurrency option data available on Deribit via a public API. Data are collected on an Ubuntu remote server with the implementation of Python3, Shell and SQLite and are then analyzed locally with Python3.
☆18Updated 4 years ago
Alternatives and similar repositories for cryptocurrency-derivatives-pricing-and-delta-neutral-volatility-trading
Users that are interested in cryptocurrency-derivatives-pricing-and-delta-neutral-volatility-trading are comparing it to the libraries listed below
Sorting:
- Tool to identify option arbitrage opportunities across different expiries.☆17Updated last year
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆79Updated 7 years ago
- A rebalancing tool to delta-hedge an options portfolio on Deribit Exchange.☆75Updated 3 years ago
- A library that can be used to download the entire BTC and ETH option chain data on Deribit.☆68Updated 5 years ago
- Stochastic volatility models and their application to Deribit crypro-options exchange☆13Updated last year
- Repository for market making ideas☆43Updated last year
- This quant framework applies algorithm trading in Crypto market. The trading pairs focus on spots, perpetuals, futures, and options in De…☆55Updated 5 years ago
- ☆38Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Updated 4 years ago
- Backtest result archive for Momentum Trading Strategies☆67Updated 6 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆35Updated 4 years ago
- Repo for HFT project in CMF☆29Updated 3 years ago
- Example of order book modeling.☆58Updated 6 years ago
- Market Making in Python☆19Updated last year
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆37Updated last year
- High Frequency Trading Strategies☆49Updated 8 years ago
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆74Updated 3 years ago
- A Practical Guide to a Simple Data Stack.☆41Updated last year
- Dynamic portfolio optimization☆31Updated 2 years ago
- ☆123Updated 8 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆92Updated 2 years ago
- Collection of Models related to market making☆17Updated 5 years ago
- This project is to download and analyze cryptocurrency option data available on Deribit via a public API. Data are collected on an Ubuntu…☆10Updated 4 years ago
- ☆24Updated 6 years ago
- AS model performance versus trivial delta for market-makers☆21Updated 4 years ago
- Delta hedging under SABR model☆44Updated last year
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆70Updated last year
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆102Updated 6 years ago
- A market making algorithm based on the Avellaneda Stoikov paper on Deribit derivatives exchange. A gradient boosted model is used for vol…☆23Updated 11 months 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