mindful-math / LOB-Modeling
Collection of Models related to market making
☆16Updated 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
- Market making strategies and scientific papers☆13Updated last year
- ☆21Updated 5 years ago
- AS model performance versus trivial delta for market-makers☆18Updated 3 years ago
- ☆31Updated 3 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- Dynamic portfolio optimization☆22Updated last year
- ☆17Updated 3 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆28Updated 3 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- Package to build risk model for factor pricing model☆24Updated 9 months ago
- Optimal high-frequency market making strategy☆21Updated 5 months ago
- ☆49Updated 4 years ago
- Delta hedging under SABR model☆30Updated 11 months ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- Baruch MFE 2019 Spring☆39Updated 4 years ago
- Phd repo☆16Updated 2 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago
- XTX Forecasting Challenge https://challenge.xtxmarkets.com/☆9Updated 5 years ago
- High Frequency Jump Prediction Project☆36Updated 4 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
- High Frequency Trading Strategies☆44Updated 7 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- Baruch MFE MTH9894☆12Updated 7 years ago
- Study of price volume data to analyze an order imbalance strategy for Bitcoin on BitMEX platform☆11Updated 6 years ago
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆8Updated 3 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆32Updated 3 years ago
- Mid price estimation in LOB using Markov model☆12Updated 2 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆47Updated 5 years ago