Optimal high-frequency market making strategy
☆29Nov 24, 2024Updated last year
Alternatives and similar repositories for HFT-Research
Users that are interested in HFT-Research are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆18Nov 10, 2023Updated 2 years ago
- Market making strategies and scientific papers☆14Aug 20, 2023Updated 2 years ago
- High Frequency Market Making: Optimal Quoting☆18Mar 20, 2023Updated 3 years ago
- ☆25Dec 18, 2015Updated 10 years ago
- Limit Order Book Convolutional Neural Network trading bot☆14Jul 24, 2022Updated 4 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Repository for market making ideas☆45Apr 26, 2024Updated 2 years ago
- Order Book Imbalance trading strategy☆11Nov 21, 2022Updated 3 years ago
- Submission for Optiver's 2023 ReadyTraderGo.☆26Mar 26, 2023Updated 3 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆12Jul 10, 2021Updated 5 years ago
- Using reinforcement learning to make markets in the high frequency trading setting.☆30May 30, 2026Updated last month
- ☆39Aug 2, 2021Updated 4 years ago
- ☆13May 21, 2019Updated 7 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆153May 6, 2023Updated 3 years ago
- High Frequency Market Making☆641Sep 24, 2023Updated 2 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.
- ☆133Dec 12, 2017Updated 8 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆85Jan 27, 2018Updated 8 years ago
- Baruch MFE 2019 Spring☆46May 29, 2020Updated 6 years ago
- Collection of Models related to market making☆18Jan 25, 2021Updated 5 years ago
- Calibration and Simulation Engine for Local Volatility Models☆16Dec 13, 2021Updated 4 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆31Sep 12, 2021Updated 4 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆254Jun 29, 2023Updated 3 years ago
- High Frequency Trading Strategies☆49Aug 14, 2017Updated 8 years ago
- Baruch MFE MTH9894☆13Jun 4, 2017Updated 9 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.
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆102May 19, 2023Updated 3 years ago
- 基于 TheNextQuant 的量化交易框架☆21Aug 14, 2022Updated 3 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆31Aug 29, 2020Updated 5 years ago
- Some codes used for the numerical examples proposed in https://hal.archives-ouvertes.fr/hal-01514987v2 and https://arxiv.org/abs/1705.014…☆24May 3, 2019Updated 7 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆42Nov 21, 2019Updated 6 years ago
- Avellaneda-Stoikov HFT market making algorithm implementation☆713Jul 6, 2023Updated 3 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Mar 18, 2026Updated 4 months ago
- Mid price estimation in LOB using Markov model☆13May 11, 2022Updated 4 years ago
- Deep learning approach for market price prediction, in JAX☆61May 20, 2024Updated 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.
- Calibrates microprice model to BitMEX quote data☆65Jul 1, 2021Updated 5 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Jun 24, 2020Updated 6 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆17Dec 26, 2022Updated 3 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆24Dec 12, 2021Updated 4 years ago
- Alpaca-based Order Book Inbalace Algorithm.☆12Jul 23, 2020Updated 6 years ago
- ☆12Oct 24, 2024Updated last year
- ☆38Nov 30, 2022Updated 3 years ago