A study of the Glosten and Milgrom model for market making
☆15Nov 4, 2015Updated 10 years ago
Alternatives and similar repositories for mm-glosten-milgrom
Users that are interested in mm-glosten-milgrom are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- ☆11Dec 18, 2015Updated 10 years ago
- Implementation of a Bayesian-style market maker in the vein of 'Intelligent Market-Making in Artificial Financial Markets' by Sanmay Das☆109Oct 16, 2015Updated 10 years ago
- A model for forecasting stock volatility☆22Apr 14, 2017Updated 9 years ago
- Collection of Models related to market making☆18Jan 25, 2021Updated 5 years ago
- Limit order book model with Poissonian order flow.☆10Jan 2, 2018Updated 8 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- Market Making / Stat Arb strategy☆62Jun 6, 2017Updated 8 years ago
- Crypto Trading Bot. A special assistant for your cryptocurrency trading.☆15Aug 23, 2024Updated last year
- A simply framework of researching stock data through LSTM by Tensorflow☆18Mar 4, 2019Updated 7 years ago
- lightweight LMAX disruptor v3 port in C++20☆39Sep 10, 2025Updated 7 months ago
- Marketmaker trading strategy☆29Oct 14, 2016Updated 9 years ago
- Market Making via Reinforcement Learning☆344Nov 4, 2019Updated 6 years ago
- Order Imbalance Trading Simulation R Code☆17Sep 9, 2019Updated 6 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆146May 6, 2023Updated 2 years ago
- ☆16Apr 6, 2022Updated 4 years ago
- Simple, predictable pricing with DigitalOcean hosting • AdAlways know what you'll pay with monthly caps and flat pricing. Enterprise-grade infrastructure trusted by 600k+ customers.
- code from Daniel Lemire, A Better Alternative to Piecewise Linear Time Series Segmentation, SIAM Data Mining 2007, 2007.☆24Oct 27, 2017Updated 8 years ago
- Python library with C++ extensions for simulation, compensator, log-likelihood and intensity function computation for a multivariate Hawk…☆10Sep 25, 2017Updated 8 years ago
- ☆25Dec 18, 2015Updated 10 years ago
- Modular aggregated order book for CeFi exchanges☆14May 25, 2023Updated 2 years ago
- time-dependent Hamilton-Jacobi PDEs (http://www.cs.columbia.edu/~cxz/TimeDepHJB/)☆14Feb 5, 2017Updated 9 years ago
- ☆15Dec 6, 2017Updated 8 years ago
- Train a DBN to classify a set of test data similar to MNIST, Using DL4J & theano (Project of Pattern Recognition course)☆11Mar 4, 2017Updated 9 years ago
- Replication of study Avellaneda, Marco, and Sasha Stoikov: High-frequency trading in a limit order book. Quantitative Finance 8.3 (2008):…☆94Oct 30, 2017Updated 8 years ago
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆50Jan 18, 2025Updated last year
- Simple, predictable pricing with DigitalOcean hosting • AdAlways know what you'll pay with monthly caps and flat pricing. Enterprise-grade infrastructure trusted by 600k+ customers.
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆245Jun 29, 2023Updated 2 years ago
- Market making strategy example☆28Feb 26, 2021Updated 5 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆35Nov 3, 2021Updated 4 years ago
- ☆10Oct 4, 2023Updated 2 years ago
- High Frequency Market Making: Optimal Quoting☆16Mar 20, 2023Updated 3 years ago
- Golub, Glattfelder and Olsen, ''The Alpha Engine: Designing an Automated Trading Algorithm''☆117Jan 2, 2018Updated 8 years ago
- Modeling high-frequency limit order book dynamics with support vector machines☆744Jan 29, 2016Updated 10 years ago
- PSF: Algorithm for Pattern Sequence Based Forecasting☆17Dec 15, 2016Updated 9 years ago
- A 3 part series of Jupyter notebooks to help one find alpha in the stock market with AI☆18Jun 10, 2023Updated 2 years ago
- 1-Click AI Models by DigitalOcean Gradient • AdDeploy popular AI models on DigitalOcean Gradient GPU virtual machines with just a single click. Zero configuration with optimized deployments.
- orderbooks contain so much more organic informations than moving averages...☆19Updated this week
- CTP with python3.4.3☆10Aug 1, 2017Updated 8 years ago
- A curated list of awesome quantum computing resources. Inspired by the various awesome-* projects☆11Feb 26, 2017Updated 9 years ago
- Market Making trading bot for cryptomarkets☆252Mar 30, 2026Updated 2 weeks ago
- An algorithm that intelligently executes a crypto order over time via Coinbase☆13Oct 26, 2021Updated 4 years ago
- ☆11Dec 8, 2022Updated 3 years ago
- Implementation of Avellaneda and Stoikov's High-Frequency Trading Model in a Limit Order Book Context☆24Feb 20, 2025Updated last year