layoups / microstructure-and-liquidityLinks
☆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
Sorting:
- ☆36Updated 4 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☆54Updated 3 years ago
- Vectorized quantile backtesting library☆15Updated 2 years ago
- Collection of Models related to market making☆17Updated 4 years ago
- AS model performance versus trivial delta for market-makers☆20Updated 3 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆32Updated 4 years ago
- Dynamic portfolio optimization☆28Updated last year
- Time Series Prediction of Volume in LOB☆58Updated last year
- Repo for HFT project in CMF☆29Updated 2 years ago
- Market making strategy example☆28Updated 4 years ago
- Example of order book modeling.☆58Updated 6 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆34Updated 3 years ago
- ☆13Updated 6 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…☆23Updated 6 years ago
- Sharing quantitative analyses on Crypto Lake data☆67Updated last year
- Bitmex market microstructure analytics☆23Updated 4 years ago
- Package to build risk model for factor pricing model☆27Updated last year
- A Practical Guide to a Simple Data Stack.☆40Updated last year
- ☆52Updated 4 years ago
- Different trading strategies based on technical analysis using Ethereum/USD 5-minute bars data☆21Updated 4 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
- Option Strategy for Futures☆15Updated 5 years ago
- ☆49Updated 7 years ago
- ☆60Updated 8 months ago
- high-frequency grid trading strategy backtesting for binance futures☆24Updated 2 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆29Updated 4 years ago
- Find trading pairs with Machine Learning☆41Updated 4 years ago
- experiments with crypto trading☆16Updated last year
- Process tardis.dev cryptocurrency data, reconstructing the market depth and computing imbalance.☆21Updated 4 years ago