mdibo / Avellaneda-StoikovLinks
Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov
☆144Updated 5 years ago
Alternatives and similar repositories for Avellaneda-Stoikov
Users that are interested in Avellaneda-Stoikov are comparing it to the libraries listed below
Sorting:
- Implementation of HFT backtesting simulator and Stoikov strategy☆123Updated 2 years ago
- Order Imbalance Strategy in High Frequency Trading☆133Updated 7 years ago
- algo trading backtesting on BitMEX☆78Updated last year
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆163Updated 5 years ago
- 非 平衡订单流高频交易模型☆108Updated 6 years ago
- Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning☆140Updated 5 years ago
- Volume-Synchronized Probability of Informed Trading☆113Updated 11 years ago
- ☆114Updated 7 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆102Updated 6 years ago
- Replication of study Avellaneda, Marco, and Sasha Stoikov: High-frequency trading in a limit order book. Quantitative Finance 8.3 (2008):…☆89Updated 7 years ago
- Visualization Tool for Deribit Options☆82Updated 5 years ago
- High Frequency Analysis Based On Level-2 Data(Limit Order Book& Transaction Data)☆105Updated last year
- Limit Order Book Implemented in Python☆94Updated 7 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆75Updated 7 years ago
- HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-ma…☆239Updated 3 months ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆196Updated last year
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆223Updated 3 years ago
- Calibrates microprice model to BitMEX quote data☆56Updated 3 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆77Updated 2 years ago
- This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in…☆69Updated 7 years ago
- Analysis of High Frequency Trading on Bitcoin exchanges☆156Updated 7 years ago
- Personal Project that implements a variety of HFT strategies in C++☆73Updated 4 years ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆68Updated 9 years ago
- High Frequency Trading Strategies☆45Updated 7 years ago
- Limit Order Book data analysis and modeling using LSTM network☆136Updated 6 years ago
- ☆26Updated 2 years ago
- Collect real-time orderbook, trade and other HFT data from several crypto exchanges using WebSocket connections.☆73Updated 4 years ago
- ☆138Updated 2 years ago
- High-frequency trading in a limit order book☆59Updated 6 years ago
- High-frequency statistical arbitrage☆196Updated last year