kkanagal / MSE448Project
Market Making / Stat Arb strategy
☆59Updated 7 years ago
Alternatives and similar repositories for MSE448Project:
Users that are interested in MSE448Project are comparing it to the libraries listed below
- Implementation of a Bayesian-style market maker in the vein of 'Intelligent Market-Making in Artificial Financial Markets' by Sanmay Das☆102Updated 9 years ago
- Limit Order Book Implemented in Python☆92Updated 7 years ago
- Pairs trading strategy example based on Catalyst☆47Updated 6 years ago
- ☆46Updated 7 years ago
- finance☆43Updated 7 years ago
- Deep Q-Learning for Market Making☆118Updated 6 years ago
- A Python toolkit for high-frequency trade research.☆40Updated 6 years ago
- Visualization Tool for Deribit Options☆78Updated 4 years ago
- High Frequency Trading☆107Updated 6 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆75Updated 6 years ago
- Volume-Synchronized Probability of Informed Trading☆110Updated 11 years ago
- stores market data from cryptofeed to kdb+☆23Updated 3 years ago
- Marketmaker trading strategy☆26Updated 8 years ago
- Event-driven backtest/realtime quantitative trading system.☆74Updated 3 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆101Updated 5 years ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆66Updated 8 years ago
- Python library for high frequency portfolio analysis, intraday backtesting and optimization☆66Updated 7 years ago
- Example of order book modeling.☆56Updated 5 years ago
- Quantopian Pairs Trading algorithm implementation.☆57Updated 7 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆70Updated 7 years ago
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆50Updated 4 years ago
- Generate various Alternative Bars both historically and at real-time.☆34Updated 2 years ago
- Replication of study Avellaneda, Marco, and Sasha Stoikov: High-frequency trading in a limit order book. Quantitative Finance 8.3 (2008):…☆89Updated 7 years ago
- Models and programs developed as part of XTX Forecastin Challenge 2019☆25Updated last year
- High-frequency trading in a limit order book☆57Updated 5 years ago
- Robust Market Making via Adversarial Reinforcement Learning☆49Updated 4 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆86Updated 4 years ago
- A fast limit order book implementation in Python, inspired by voyager's winning 2011 QuantCup entry. (Also see kmanley/gorderbook, the Go…☆71Updated 4 years ago
- The Thalesians' Python library☆63Updated 8 years ago
- Deep learning for price movement prediction using high frequency limit order data☆38Updated 6 years ago