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:
- ☆38Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Updated 4 years ago
- Repo for HFT project in CMF☆29Updated 3 years ago
- AS model performance versus trivial delta for market-makers☆21Updated 4 years ago
- ☆24Updated 5 years ago
- Market making strategies and scientific papers☆14Updated 2 years ago
- Order Book Imbalance trading strategy☆11Updated 3 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆31Updated 4 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆35Updated 4 years ago
- Optimal high-frequency market making strategy☆26Updated last year
- Mid price estimation in LOB using Markov model☆12Updated 3 years ago
- Baruch MFE 2019 Spring☆43Updated 5 years ago
- ☆53Updated 4 years ago
- ☆16Updated 3 years ago
- High Frequency Trading Strategies☆49Updated 8 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Example of order book modeling.☆58Updated 6 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆22Updated 3 years ago
- High Frequency Jump Prediction Project☆38Updated 5 years ago
- Package to build risk model for factor pricing model☆28Updated last year
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 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 6 years ago
- Stochastic volatility models and their application to Deribit crypro-options exchange☆13Updated last year
- Time Series Prediction of Volume in LOB☆59Updated last year
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 3 years ago
- Basic Limit Order Book functions☆23Updated 7 years ago
- Baruch MFE MTH9894☆13Updated 8 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆38Updated 5 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆70Updated last year
- High Frequency Market Making: Optimal Quoting☆14Updated 2 years ago