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:
- ☆33Updated 3 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆31Updated 4 years ago
- Repo for HFT project in CMF☆28Updated 2 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 3 years ago
- AS model performance versus trivial delta for market-makers☆20Updated 3 years ago
- Optimal high-frequency market making strategy☆21Updated 7 months ago
- Package to build risk model for factor pricing model☆28Updated 11 months ago
- Market making strategies and scientific papers☆13Updated last year
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆34Updated 3 years ago
- High Frequency Trading Strategies☆46Updated 7 years ago
- ☆50Updated 4 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆19Updated 3 years ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- Example of order book modeling.☆57Updated 6 years ago
- ☆17Updated 3 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Dynamic portfolio optimization☆24Updated last year
- Baruch MFE MTH9894☆13Updated 8 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆49Updated 5 years ago
- High Frequency Jump Prediction Project☆37Updated 5 years ago
- Backtest result archive for Momentum Trading Strategies☆60Updated 6 years ago
- High Frequency Trading bot for 2019 Traders at MIT, HFT Case. I placed 4th in the HFT competition (2nd overall) out of 120.☆19Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- Basic Limit Order Book functions☆22Updated 7 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆66Updated last year
- Study of price volume data to analyze an order imbalance strategy for Bitcoin on BitMEX platform☆11Updated 6 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆63Updated 5 years ago