maxlamberti / optimal-order-executionLinks
Exploring Optimal Order Execution in Simulated Limit Order Books
☆20Updated 2 years ago
Alternatives and similar repositories for optimal-order-execution
Users that are interested in optimal-order-execution are comparing it to the libraries listed below
Sorting:
- Market making strategies and scientific papers☆13Updated 2 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆30Updated 5 years ago
- Vpin caculation and backtesting☆14Updated 6 years ago
- High Frequency Jump Prediction Project☆39Updated 5 years ago
- ☆19Updated 5 years ago
- Phd repo☆17Updated 3 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆24Updated 3 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆29Updated 4 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆35Updated 5 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12Updated 4 years ago
- ☆17Updated 3 years ago
- 2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)☆18Updated 5 years ago
- ☆53Updated 4 years ago
- Repo for HFT project in CMF☆29Updated 2 years ago
- ☆16Updated 4 years ago
- MFM workshop project☆12Updated 4 years ago
- Modelling for price change forecast using High-frequency Trading limit order book dynamics using ML algorithms☆27Updated 7 years ago
- Order Book Imbalance trading strategy☆11Updated 2 years ago
- ☆12Updated 4 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- High Frequency Trading Strategies☆48Updated 8 years ago
- This repo contains my reimplementation and improvement of DeepLOB model.☆30Updated 4 years ago
- Collection of numerical methods for high frequency data, in Python notebooks☆13Updated 4 years ago
- ☆24Updated 5 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆19Updated 3 years ago
- Collection of Models related to market making☆17Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆32Updated 4 years ago
- High Frequency Trading Strategy☆12Updated 6 years ago
- Implementation of code snippets and exercises in the book Machine Learning for Asset Managers written by Prof. Marcos López de Prado.☆16Updated 5 years ago
- Machine learning approach to high frequency trading, MLP & RNN used☆22Updated 9 years ago