jheusser / vpin
Volume-Synchronized Probability of Informed Trading
☆110Updated 11 years ago
Alternatives and similar repositories for vpin:
Users that are interested in vpin are comparing it to the libraries listed below
- algo trading backtesting on BitMEX☆76Updated last year
- Example of order book modeling.☆56Updated 5 years ago
- ☆111Updated 7 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…☆68Updated 6 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆101Updated 6 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆86Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- Limit Order Book Implemented in Python☆93Updated 7 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆70Updated 7 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆85Updated 7 months ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆137Updated 4 years ago
- ☆42Updated 5 years ago
- Visualization Tool for Deribit Options☆79Updated 4 years ago
- #易经 #道家 #十二生肖 #姓氏堂号子嗣贞节牌坊 #天文历法 #张灯结彩 #农历 #夜观星象 #廿四节气 #算卜 #紫微斗数 #十二时辰 #生辰八字 #命运 #风水 《始祖赢政之子赢家黄氏江夏堂联富•秦谏——大秦赋》 万般皆下品,唯有读书高。🚩🇨🇳🏹🦔中科红旗,…☆46Updated 10 months ago
- Volatility surface visualizer for cryptocurrency options.☆52Updated 2 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆75Updated 6 years ago
- Pairs trading strategy example based on Catalyst☆47Updated 6 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆112Updated last year
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆50Updated 3 years ago
- Replication of study Avellaneda, Marco, and Sasha Stoikov: High-frequency trading in a limit order book. Quantitative Finance 8.3 (2008):…☆89Updated 7 years ago
- ☆49Updated 3 years ago
- Order Imbalance Strategy in High Frequency Trading☆128Updated 6 years ago
- Calibrates microprice model to BitMEX quote data☆56Updated 3 years ago
- High-frequency trading in a limit order book☆58Updated 5 years ago
- High Frequency Trading☆107Updated 6 years ago
- Pair Trading Strategy using Machine Learning written in Python☆114Updated 2 years ago
- A rebalancing tool to delta-hedge an options portfolio on Deribit Exchange.☆72Updated 2 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆70Updated 4 years ago
- Implementation of a Bayesian-style market maker in the vein of 'Intelligent Market-Making in Artificial Financial Markets' by Sanmay Das☆106Updated 9 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago