layoups / microstructure-and-liquidity
☆21Updated 2 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
- ☆30Updated 3 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago
- Dashboard to track crypto spot-futures premiums☆53Updated 2 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- AS model performance versus trivial delta for market-makers☆18Updated 3 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆31Updated 3 years ago
- Process tardis.dev cryptocurrency data, reconstructing the market depth and computing imbalance.☆20Updated 3 years ago
- ☆49Updated 3 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆27Updated 3 years ago
- A Practical Guide to a Simple Data Stack.☆39Updated 6 months ago
- Contains all the Jupyter Notebooks used in our research☆15Updated 5 years ago
- This project is to download and analyze cryptocurrency option data available on Deribit via a public API. Data are collected on an Ubuntu…☆7Updated 3 years ago
- high-frequency grid trading strategy backtesting for binance futures☆24Updated 2 years ago
- Deribit bot to run options strategy orders with different triggers and targets. You can set strategy cost to execute orders, this can be …☆28Updated last month
- A library that can be used to download the entire BTC and ETH option chain data on Deribit.☆61Updated 4 years ago
- Example of order book modeling.☆56Updated 5 years ago
- ☆21Updated 5 years ago
- Some codes used for the numerical examples proposed in https://hal.archives-ouvertes.fr/hal-01514987v2 and https://arxiv.org/abs/1705.014…☆21Updated 5 years ago
- A model simulation shows how pairs trading could be used for two S&P500 traded stocks. It proofs that the strategy is successful on real…☆25Updated 4 years ago
- Dynamic portfolio optimization☆21Updated last year
- Package to build risk model for factor pricing model☆24Updated 7 months ago
- Sharing quantitative analyses on Crypto Lake data☆65Updated 6 months ago
- Dynamic delta hedging (DDH) is a trading strategy that involves hedging a non-linear position with linear instruments. Linear instruments…☆12Updated last year
- Time Series Prediction of Volume in LOB☆56Updated 11 months ago
- Collection of Models related to market making☆16Updated 4 years ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆40Updated last week
- Pairs trading strategy example based on Catalyst☆47Updated 6 years ago
- Bitmex market microstructure analytics☆21Updated 4 years ago
- Repository for market making ideas☆39Updated 10 months ago