lcsrodriguez / optimalHFTLinks
HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)
☆36Updated last year
Alternatives and similar repositories for optimalHFT
Users that are interested in optimalHFT are comparing it to the libraries listed below
Sorting:
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆68Updated 3 years ago
- High Frequency Trading Strategies☆48Updated 8 years ago
- Calibrates microprice model to BitMEX quote data☆60Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Updated 4 years ago
- Literature survey of order execution strategies implemented in python☆43Updated 5 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- Backtest result archive for Momentum Trading Strategies☆64Updated 6 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
- ☆28Updated 3 years ago
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆17Updated 2 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆138Updated 2 years ago
- ☆53Updated 4 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆90Updated 4 years ago
- Optimal high-frequency market making strategy☆24Updated last year
- Baruch MFE 2019 Spring☆43Updated 5 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆35Updated 6 years ago
- High Frequency Jump Prediction Project☆39Updated 5 years ago
- ☆24Updated 5 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆78Updated 7 years ago
- ☆37Updated 4 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆92Updated 2 years ago
- ☆121Updated 7 years ago
- Market making strategies and scientific papers☆14Updated 2 years ago
- TorchQuantum is a backtesting framework that integrates the structure of PyTorch and WorldQuant's Operator for efficient quantitative fin…☆48Updated 2 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆70Updated last year
- High Frequency Market Making: Optimal Quoting☆13Updated 2 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆34Updated 4 years ago
- algo trading backtesting on BitMEX☆81Updated 2 years ago
- Trend Prediction for High Frequency Trading☆43Updated 2 years ago