jshellen / statarb
☆29Updated 3 years ago
Alternatives and similar repositories for statarb:
Users that are interested in statarb are comparing it to the libraries listed below
- AS model performance versus trivial delta for market-makers☆18Updated 3 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆34Updated 4 years ago
- ☆47Updated 3 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- Collection of Models related to market making☆16Updated 4 years ago
- Mid price estimation in LOB using Markov model☆12Updated 2 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆27Updated 3 years ago
- ☆21Updated 5 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆30Updated 3 years ago
- Market Making in Python☆15Updated 9 months ago
- A Practical Guide to a Simple Data Stack.☆39Updated 5 months ago
- Package to build risk model for factor pricing model☆24Updated 6 months ago
- a cpp framework for crypto currentcy tick data backtesting☆16Updated 3 years ago
- ☆21Updated 2 years ago
- Example of order book modeling.☆56Updated 5 years ago
- ☆108Updated 7 years ago
- Calibrates microprice model to BitMEX quote data☆56Updated 3 years ago
- Baruch MFE 2019 Spring☆37Updated 4 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- ☆20Updated 2 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…☆67Updated 6 years ago
- Optimal high-frequency market making strategy☆18Updated 2 months ago
- Market making strategies and scientific papers☆13Updated last year
- A market making algorithm based on the Avellaneda Stoikov paper on Deribit derivatives exchange. A gradient boosted model is used for vol…☆13Updated 2 weeks ago
- Repository for market making ideas☆39Updated 9 months ago
- Algorithmic trading strategies research and execution platform☆19Updated 8 months ago
- A financial trading method using machine learning.☆58Updated last year
- A low frequency statistical arbitrage strategy☆19Updated 5 years ago
- Process tardis.dev cryptocurrency data, reconstructing the market depth and computing imbalance.☆20Updated 3 years ago