lcsrodriguez / optimalHFT
HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)
☆27Updated 10 months ago
Alternatives and similar repositories for optimalHFT:
Users that are interested in optimalHFT are comparing it to the libraries listed below
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆14Updated last year
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 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
- Market making strategies and scientific papers☆13Updated last year
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆44Updated 4 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- ☆47Updated 3 years ago
- Literature survey of order execution strategies implemented in python☆41Updated 4 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆32Updated 5 years ago
- Calibrates microprice model to BitMEX quote data☆56Updated 3 years ago
- High Frequency Trading Strategies☆41Updated 7 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆105Updated last year
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆50Updated 2 years ago
- Trend Prediction for High Frequency Trading☆38Updated 2 years ago
- A financial trading method using machine learning.☆58Updated last year
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 5 years ago
- ☆23Updated 2 years ago
- AS model performance versus trivial delta for market-makers☆18Updated 3 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆57Updated 11 months ago
- Baruch MFE 2019 Spring☆37Updated 4 years ago
- Collection of numerical methods for high frequency data, in Python notebooks☆13Updated 3 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆25Updated 6 years ago
- ☆21Updated 5 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆82Updated 3 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆79Updated last year
- Backtest result archive for Momentum Trading Strategies☆50Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- Code to support my Master's thesis☆18Updated last year
- TorchQuantum is a backtesting framework that integrates the structure of PyTorch and WorldQuant's Operator for efficient quantitative fin…☆38Updated last year