mselser95 / optimal-market-makingLinks
Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"
☆29Updated 4 years ago
Alternatives and similar repositories for optimal-market-making
Users that are interested in optimal-market-making are comparing it to the libraries listed below
Sorting:
- Market making strategies and scientific papers☆14Updated 2 years ago
- ☆16Updated 3 years ago
- High Frequency Trading Strategies☆49Updated 8 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Updated 4 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
- Exploring Optimal Order Execution in Simulated Limit Order Books☆20Updated 3 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆17Updated 8 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 Jump Prediction Project☆38Updated 5 years ago
- Calibrates microprice model to BitMEX quote data☆62Updated 4 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆16Updated 6 years ago
- Trend Prediction for High Frequency Trading☆42Updated 3 years ago
- Backtest result archive for Momentum Trading Strategies☆67Updated 6 years ago
- ☆24Updated 5 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆59Updated 2 years ago
- ☆53Updated 4 years ago
- ☆19Updated 5 years ago
- Repo for HFT project in CMF☆29Updated 3 years ago
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆37Updated 5 years ago
- Limit Orderbook CNN model implementation for ETH-BTC (buy-low-sell-high indicator)☆17Updated 2 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆27Updated 5 years ago
- Deep learning for limit order book trading and mid-price movement☆55Updated 5 years ago
- This repo contains my reimplementation and improvement of DeepLOB model.☆32Updated 4 years ago
- ☆38Updated 4 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆14Updated 3 years ago
- AS model performance versus trivial delta for market-makers☆21Updated 4 years ago
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆37Updated last year
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆15Updated 4 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆35Updated 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 6 years ago