lcsrodriguez / optimalHFTLinks
HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)
☆30Updated last year
Alternatives and similar repositories for optimalHFT
Users that are interested in optimalHFT are comparing it to the libraries listed below
Sorting:
- High Frequency Trading Strategies☆45Updated 7 years ago
- Literature survey of order execution strategies implemented in python☆44Updated 4 years ago
- ☆25Updated 2 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆120Updated 2 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- Calibrates microprice model to BitMEX quote data☆56Updated 3 years ago
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆14Updated last year
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆47Updated 5 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆31Updated 3 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆34Updated 5 years ago
- ☆49Updated 4 years ago
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆56Updated 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 3 years ago
- High Frequency Analysis Based On Level-2 Data(Limit Order Book& Transaction Data)☆105Updated last year
- High Frequency Jump Prediction Project☆36Updated 5 years ago
- Delta hedging under SABR model☆32Updated last year
- 基于基因表达式规划算法的因子挖掘☆30Updated 3 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆81Updated 2 years ago
- TorchQuantum is a backtesting framework that integrates the structure of PyTorch and WorldQuant's Operator for efficient quantitative fin…☆44Updated last year
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆57Updated 2 years ago
- This repository is for the demonstration of our work, "Market Making with Deep Reinforcement Learning from Limit Order Books"☆61Updated 2 years ago
- CS7641 Team project☆95Updated 4 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆64Updated last year
- Notes on Advances in Financial Machine Learning☆79Updated 6 years ago
- ☆113Updated 7 years ago
- AS model performance versus trivial delta for market-makers☆18Updated 3 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆45Updated last year
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆76Updated 2 years ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆102Updated 6 years ago