kousik97 / Order-Execution-StrategyLinks
Literature survey of order execution strategies implemented in python
☆44Updated 5 years ago
Alternatives and similar repositories for Order-Execution-Strategy
Users that are interested in Order-Execution-Strategy are comparing it to the libraries listed below
Sorting:
- High Frequency Trading Strategies☆49Updated 8 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆36Updated 6 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- High Frequency Jump Prediction Project☆38Updated 5 years ago
- High Frequency Analysis Based On Level-2 Data(Limit Order Book& Transaction Data)☆115Updated last year
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆37Updated last year
- Calibrates microprice model to BitMEX quote data☆64Updated 4 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆90Updated 4 years ago
- ☆55Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Updated 4 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆60Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆97Updated 2 years ago
- Ornstein-Uhlenbeck process simulators and estimators☆32Updated 4 years ago
- ☆30Updated 3 years ago
- Backtest result archive for Momentum Trading Strategies☆67Updated 6 years ago
- The book <Advanced Algorithmic Trading> and its source code☆61Updated 8 years ago
- TorchQuantum is a backtesting framework that integrates the structure of PyTorch and WorldQuant's Operator for efficient quantitative fin…☆51Updated 2 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆72Updated last year
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆67Updated 2 years ago
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆67Updated 5 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆31Updated 4 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆29Updated 4 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆126Updated 5 years ago
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆74Updated 3 years ago
- Demonstrative examples for developing quantitative and systematic strategies☆38Updated 2 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆143Updated 2 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆86Updated last year
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆16Updated 6 years ago
- Trend Prediction for High Frequency Trading☆42Updated 3 years ago
- Simulator of a basic order book flow and order execution☆18Updated 2 years ago