layoups / microstructure-and-liquidityView external linksLinks
☆21Nov 4, 2022Updated 3 years ago
Alternatives and similar repositories for microstructure-and-liquidity
Users that are interested in microstructure-and-liquidity are comparing it to the libraries listed below
Sorting:
- Symbolic sequence learning package☆12Dec 8, 2025Updated 2 months ago
- Process tardis.dev cryptocurrency data, reconstructing the market depth and computing imbalance.☆20May 3, 2021Updated 4 years ago
- ☆13May 27, 2023Updated 2 years ago
- Vectorized quantile backtesting library☆15May 25, 2023Updated 2 years ago
- A research project to study the gamma exposure of market-makers in Bitcoin option markets.☆15Sep 12, 2020Updated 5 years ago
- ☆16Apr 6, 2022Updated 3 years ago
- ☆69Oct 22, 2022Updated 3 years ago
- Volatility models for stock prices using deep learning and mixture models.☆16Aug 20, 2022Updated 3 years ago
- A tool used to analyze arbitrage opportunities in cryptocurrency option markets.☆13Sep 23, 2020Updated 5 years ago
- A Deep Learning Framework for Neural Derivative Hedging☆31Feb 3, 2022Updated 4 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Dec 26, 2022Updated 3 years ago
- A handy tool to quickly analyze the orderbook depth for all Deribit listed options.☆19Jan 13, 2023Updated 3 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆12Jul 10, 2021Updated 4 years ago
- ☆12Dec 22, 2023Updated 2 years ago
- replication of micro-price on crytocurrency data☆10Feb 27, 2022Updated 3 years ago
- ☆12Apr 17, 2021Updated 4 years ago
- ☆12Dec 21, 2022Updated 3 years ago
- Introducing more of the standard library☆26Aug 6, 2024Updated last year
- Dashboard to track crypto spot-futures premiums☆54Aug 29, 2022Updated 3 years ago
- Based on paper Learning Embedded Representation of the Stock Correlation Matrix using Graph Machine Learning☆12Dec 24, 2022Updated 3 years ago
- This repository is for my master's project, A Survey of Deep Learning Architectures for Algorithmic Cryptocurrency Trading, delivered on …☆10Nov 30, 2022Updated 3 years ago
- Sample BitMEX Market Making Bot☆28Apr 8, 2021Updated 4 years ago
- Code for getting implied volatility in Python☆27Jul 27, 2017Updated 8 years ago
- ☆25Dec 18, 2015Updated 10 years ago
- Backtesting the thesis paper entitled: Trading volatility Trading strategies based on the VIX term structure☆31Dec 20, 2022Updated 3 years ago
- Market making strategies and scientific papers☆14Aug 20, 2023Updated 2 years ago
- ☆15Mar 30, 2020Updated 5 years ago
- ☆16Feb 7, 2021Updated 5 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆29Apr 5, 2021Updated 4 years ago
- Estimation of the lead-lag parameter from non-synchronous data.☆136Apr 1, 2025Updated 10 months ago
- The aim of this repository is to merge several methods into one library to allow the user to establish the dynamics followed and to make …☆12Jan 19, 2023Updated 3 years ago
- Final Project for FINM33150, University of Chicago, Regression Analysis and Quantitative Trading Strategies☆11Jul 7, 2021Updated 4 years ago
- ☆13May 21, 2019Updated 6 years ago
- Time Series Prediction of Volume in LOB☆60Apr 17, 2024Updated last year
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆15Jul 3, 2021Updated 4 years ago
- ☆14Apr 16, 2022Updated 3 years ago
- A log likelihood process for optimal entry / exit / stopping.☆14Jun 15, 2022Updated 3 years ago
- Cryptocurrency Valuation: An Explainable AI Approach☆15Dec 14, 2022Updated 3 years ago
- ☆36Nov 27, 2017Updated 8 years ago