mindful-math / LOB-Modeling
Collection of Models related to market making
☆14Updated 3 years ago
Related projects ⓘ
Alternatives and complementary repositories for LOB-Modeling
- ☆26Updated 3 years ago
- AS model performance versus trivial delta for market-makers☆17Updated 2 years ago
- ☆18Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆28Updated 3 years ago
- Market making strategies and scientific papers☆12Updated last year
- Repo for HFT project in CMF☆26Updated last year
- 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
- ☆46Updated 3 years ago
- A low frequency statistical arbitrage strategy☆18Updated 5 years ago
- Package to build risk model for factor pricing model☆24Updated 3 months ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- Baruch course - Market Microstructure☆10Updated 8 years ago
- Baruch MFE 2019 Spring☆35Updated 4 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 6 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆22Updated last year
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆11Updated 3 years ago
- Study of price volume data to analyze an order imbalance strategy for Bitcoin on BitMEX platform☆10Updated 5 years ago
- Phd repo☆16Updated 2 years ago
- ☆15Updated 2 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆33Updated 3 years ago
- This is the final project of Statistical Arbitrage course and it aims to apply pairs trading in high frequency data to realize auto-tradi…☆18Updated 6 years ago
- Optimal high-frequency market making strategy☆13Updated last year
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆12Updated last year
- ☆11Updated 8 years ago
- ☆13Updated last year
- Contains all the Jupyter Notebooks used in our research☆14Updated 4 years ago
- Dynamic portfolio optimization☆17Updated 11 months ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 3 years ago
- Backtest result archive for Momentum Trading Strategies☆46Updated 5 years ago
- Market Making in Python☆12Updated 7 months ago