jheusser / vpinLinks
Volume-Synchronized Probability of Informed Trading
☆113Updated 11 years ago
Alternatives and similar repositories for vpin
Users that are interested in vpin are comparing it to the libraries listed below
Sorting:
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆75Updated 7 years ago
- ☆114Updated 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…☆69Updated 7 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆102Updated 6 years ago
- Example of order book modeling.☆56Updated 6 years ago
- algo trading backtesting on BitMEX☆78Updated last year
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆92Updated 4 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆91Updated 10 months ago
- ☆45Updated 6 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆51Updated 3 years ago
- Calibrates microprice model to BitMEX quote data☆56Updated 3 years ago
- Visualization Tool for Deribit Options☆82Updated 5 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 4 years ago
- Limit Order Book Implemented in Python☆94Updated 7 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 6 years ago
- A rebalancing tool to delta-hedge an options portfolio on Deribit Exchange.☆73Updated 3 years ago
- ☆50Updated 4 years ago
- High Frequency Trading Strategies☆45Updated 7 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆33Updated 3 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆144Updated 5 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆62Updated 5 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆70Updated 5 years ago
- High-frequency trading in a limit order book☆59Updated 6 years ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆68Updated 9 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,…☆48Updated 2 months ago
- Volatility surface visualizer for cryptocurrency options.☆56Updated 2 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆163Updated 5 years ago
- In this repository, an event-driven backtester is implemented based on QuantStart articles. The backtester is programmed in Python featur…☆64Updated 4 years ago