lamres / orderbook_modelingLinks
Example of order book modeling.
☆58Updated 6 years ago
Alternatives and similar repositories for orderbook_modeling
Users that are interested in orderbook_modeling are comparing it to the libraries listed below
Sorting:
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆32Updated 4 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆104Updated 6 years ago
- Repo for HFT project in CMF☆29Updated 2 years ago
- Volume-Synchronized Probability of Informed Trading☆113Updated 12 years ago
- Pairs trading strategy example based on Catalyst☆50Updated 6 years ago
- ☆38Updated 4 years ago
- High-frequency trading in a limit order book☆59Updated 6 years ago
- algo trading backtesting on BitMEX☆82Updated last year
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆69Updated 2 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆79Updated 7 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆69Updated last year
- ☆119Updated 7 years ago
- ☆49Updated 8 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆34Updated 3 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
- This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in…☆72Updated 7 years ago
- High Frequency Trading Strategies☆48Updated 8 years ago
- AS model performance versus trivial delta for market-makers☆20Updated 3 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆55Updated 5 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆54Updated 4 years ago
- A rebalancing tool to delta-hedge an options portfolio on Deribit Exchange.☆73Updated 3 years ago
- ☆53Updated 4 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆68Updated 5 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆97Updated 4 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago
- Calibrates microprice model to BitMEX quote data☆61Updated 4 years ago
- Collection of Models related to market making☆17Updated 4 years ago
- Market making strategy example☆28Updated 4 years ago
- high-frequency grid trading strategy backtesting for binance futures☆24Updated 3 years ago