Volume-Synchronized Probability of Informed Trading
☆117Oct 13, 2013Updated 12 years ago
Alternatives and similar repositories for vpin
Users that are interested in vpin are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- ☆48Jun 16, 2019Updated 7 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆104Apr 30, 2026Updated 2 months ago
- A collection of homeworks of market microstructure models.☆292May 4, 2018Updated 8 years ago
- Vpin caculation and backtesting☆14Aug 16, 2019Updated 6 years ago
- ☆134Dec 12, 2017Updated 8 years ago
- Bare Metal GPUs on DigitalOcean Gradient AI • AdPurpose-built for serious AI teams training foundational models, running large-scale inference, and pushing the boundaries of what's possible.
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆99Jan 1, 2021Updated 5 years ago
- Features and labels engineering of raw data of quotes of several stocks.☆32Oct 9, 2019Updated 6 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，…☆50Apr 12, 2025Updated last year
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆76May 23, 2020Updated 6 years ago
- HFT signals on GDAX☆119Dec 13, 2017Updated 8 years ago
- ☆38Mar 25, 2021Updated 5 years ago
- Signal processing examples in python☆166Feb 19, 2020Updated 6 years ago
- Calibrates microprice model to BitMEX quote data☆64Jul 1, 2021Updated 5 years ago
- ☆463Jan 10, 2021Updated 5 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- A Practical Guide to a Simple Data Stack.☆41Sep 18, 2024Updated last year
- Example of order book modeling.☆58Jun 18, 2019Updated 7 years ago
- Models and programs developed as part of XTX Forecastin Challenge 2019☆28Jul 6, 2023Updated 2 years ago
- High frequency trading bot for crypto currencies☆431Feb 7, 2022Updated 4 years ago
- Baruch MFE 2019 Spring☆46May 29, 2020Updated 6 years ago
- AS model performance versus trivial delta for market-makers☆21Jan 13, 2022Updated 4 years ago
- High performance trading Matching Engine / Market Simulator using Level 3 Market Data for realistic simulation of High Frequency Trading …☆133May 3, 2024Updated 2 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆41Jan 3, 2021Updated 5 years ago
- Avellaneda-Stoikov HFT market making algorithm implementation☆709Jul 6, 2023Updated 2 years ago
- Managed Database hosting by DigitalOcean • AdPostgreSQL, MySQL, MongoDB, Kafka, Valkey, and OpenSearch available. Automatically scale up storage and focus on building your apps.
- Implementation of HFT backtesting simulator and Stoikov strategy☆148May 6, 2023Updated 3 years ago
- Kalman Filter, Smoother, and EM Algorithm for Python☆12Sep 4, 2023Updated 2 years ago
- Big Data course project (EPFL) - Trading strategies based on order book☆31May 20, 2014Updated 12 years ago
- Market data collector for crypto exchanges (Coinbase, Bitfinex, Bitmex, Kraken) written in C++☆14Feb 3, 2026Updated 5 months ago
- ☆11Sep 6, 2023Updated 2 years ago
- Mid price estimation in LOB using Markov model☆13May 11, 2022Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Jun 15, 2021Updated 5 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆42Nov 21, 2019Updated 6 years ago
- Collection of tidbits for HFT server config.☆53Sep 20, 2021Updated 4 years ago
- Serverless GPU API endpoints on Runpod - Get Bonus Credits • AdSkip the infrastructure headaches. Auto-scaling, pay-as-you-go, no-ops approach lets you focus on innovating your application.
- This entry contains two topics The first item is entirely based on the following paper: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB6…☆34Feb 14, 2014Updated 12 years ago
- A log likelihood process for optimal entry / exit / stopping.☆14Jun 15, 2022Updated 4 years ago
- Accompanying source codes for my book 'Mastering Python for Finance'.☆537Jul 9, 2022Updated 3 years ago
- Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning☆153Dec 28, 2019Updated 6 years ago
- ☆21Nov 4, 2022Updated 3 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…☆76Jun 3, 2018Updated 8 years ago
- Implementation of PIN ( Probability of Informed trading) on A-Share daily public data (based on Yan Y, Zhang S. An improved estimation me…☆42Aug 19, 2020Updated 5 years ago