mindful-math / LOB-ModelingLinks
Collection of Models related to market making
☆17Updated 4 years ago
Alternatives and similar repositories for LOB-Modeling
Users that are interested in LOB-Modeling are comparing it to the libraries listed below
Sorting:
- ☆36Updated 4 years ago
- Repo for HFT project in CMF☆29Updated 2 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆32Updated 4 years ago
- AS model performance versus trivial delta for market-makers☆20Updated 3 years ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- ☆24Updated 5 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆29Updated 4 years ago
- Mid price estimation in LOB using Markov model☆13Updated 3 years ago
- Market making strategies and scientific papers☆13Updated 2 years ago
- Optimal high-frequency market making strategy☆24Updated 10 months ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆34Updated 3 years ago
- Order Book Imbalance trading strategy☆11Updated 2 years ago
- ☆17Updated 3 years ago
- Basic Limit Order Book functions☆22Updated 7 years ago
- Dynamic portfolio optimization☆28Updated last year
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- ☆52Updated 4 years ago
- High Frequency Trading Strategies☆48Updated 8 years ago
- High Frequency Market Making: Optimal Quoting☆13Updated 2 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆19Updated 3 years ago
- Example of order book modeling.☆58Updated 6 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆68Updated last year
- Study of price volume data to analyze an order imbalance strategy for Bitcoin on BitMEX platform☆11Updated 6 years ago
- High Frequency Jump Prediction Project☆39Updated 5 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago
- High-Frequency-Trading Strategies in XAU/USD based on MER (Mean-Reverting) and BO (Break Out)☆10Updated 4 years ago
- Baruch MFE MTH9894☆13Updated 8 years ago
- Option Strategy for Futures☆15Updated 5 years ago