jwubn / market-microstructureLinks
Course projects of mathematical market microstructure.
☆13Updated 6 years ago
Alternatives and similar repositories for market-microstructure
Users that are interested in market-microstructure are comparing it to the libraries listed below
Sorting:
- Hull-White 1/2 Factor Dynamics☆14Updated 3 years ago
- Baruch course - Market Microstructure☆14Updated 9 years ago
- verify OrderBook Tick Data Trading Strategy on futures.☆16Updated 6 years ago
- Python demo code for LOBSTER limit order book data☆13Updated 5 years ago
- ☆24Updated 5 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆19Updated 3 years ago
- ☆25Updated 9 years ago
- Collection of Models related to market making☆17Updated 4 years ago
- Testing trading signals of commodity futures☆17Updated 5 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- ☆17Updated 3 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago
- High Frequency Jump Prediction Project☆39Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- Option Strategy for Futures☆15Updated 5 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆29Updated 4 years ago
- CAPSTONE Project for Msc Financial Engineering☆12Updated 6 years ago
- Design your own Trading Strategy☆39Updated last year
- Create structured financial data in the form of tick, volume, and dollar bars from unstructured tick data. From Marcos Lopez de Prado's A…☆11Updated 4 years ago
- Repo for HFT project in CMF☆29Updated 2 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆35Updated 5 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆13Updated 3 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆32Updated 4 years ago
- High Frequency Market Making: Optimal Quoting☆13Updated 2 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 6 months ago
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆65Updated 3 years ago
- ☆18Updated 7 years ago
- Reading notes and Python implementation for book "Machine Learning for Factor Investing" by Silkdust☆12Updated last year
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask credit. Further, outstanding del…☆10Updated 2 years ago