mselser95 / optimal-market-makingView external linksLinks
Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"
☆29Apr 5, 2021Updated 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:
- Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning☆147Dec 28, 2019Updated 6 years ago
- AS model performance versus trivial delta for market-makers☆20Jan 13, 2022Updated 4 years ago
- Phd repo☆17Jul 14, 2022Updated 3 years ago
- Market making strategies and scientific papers☆14Aug 20, 2023Updated 2 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆27Aug 29, 2020Updated 5 years ago
- Option Strategy for Futures☆17Jul 29, 2020Updated 5 years ago
- Limit Orderbook CNN model implementation for ETH-BTC (buy-low-sell-high indicator)☆17Mar 20, 2023Updated 2 years ago
- We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cos…☆10Apr 8, 2020Updated 5 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆37Jan 3, 2021Updated 5 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆22Jun 24, 2022Updated 3 years ago
- Robust Market Making via Adversarial Reinforcement Learning☆54Apr 24, 2020Updated 5 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆23Dec 12, 2021Updated 4 years ago
- Vpin caculation and backtesting☆14Aug 16, 2019Updated 6 years ago
- Pytorch implementation of BIN-TABL from Data Normalization for Bilinear Structures in HF Financial Time-series☆13Aug 12, 2024Updated last year
- robotRay is a python robo trader bot for several strategies including: 1) naked puts based on a simple vega crush algo, 2) golden cross. …☆15Aug 27, 2021Updated 4 years ago
- Pytorch implementation of DeepLOB-ATT and DeepLOB-Seq2Seq from Multi Horizon Forecasting for Limit Order Books☆14Feb 4, 2023Updated 3 years ago
- Research project on applying deep reinforcement learning to perform financial market predictions. A competitive market maker.☆13Dec 8, 2022Updated 3 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆237Jun 29, 2023Updated 2 years ago
- ☆14Apr 1, 2019Updated 6 years ago
- ☆24May 1, 2025Updated 9 months ago
- Pytorch implementation of deep learning models for financial time series forecasting using LOB☆20May 25, 2023Updated 2 years ago
- Construction of local volatility surface by using SABR☆30Apr 29, 2017Updated 8 years ago
- This project is to download and analyze cryptocurrency option data available on Deribit via a public API. Data are collected on an Ubuntu…☆10Sep 17, 2021Updated 4 years ago
- oTree app for financial market experiments with high frequency trading☆28Aug 28, 2023Updated 2 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆30Sep 12, 2021Updated 4 years ago
- This repo contains my reimplementation and improvement of DeepLOB model.☆31Apr 22, 2021Updated 4 years ago
- Replication of study Avellaneda, Marco, and Sasha Stoikov: High-frequency trading in a limit order book. Quantitative Finance 8.3 (2008):…☆92Oct 30, 2017Updated 8 years ago
- Source code for the course "Deep Reinforcement Learning for High-Frequency Trading" held at the Ukrainian Catholic University / Czech Tec…☆20Sep 11, 2022Updated 3 years ago
- HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-ma…☆287Feb 1, 2026Updated 2 weeks ago
- Process tardis.dev cryptocurrency data, reconstructing the market depth and computing imbalance.☆20May 3, 2021Updated 4 years ago
- 基于 TheNextQuant 的量化交易框架☆21Aug 14, 2022Updated 3 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Dec 26, 2022Updated 3 years ago
- ☆20Mar 28, 2023Updated 2 years ago
- Deep learning for limit order book trading and mid-price movement☆55Oct 20, 2020Updated 5 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆17Jan 3, 2018Updated 8 years ago
- Deep learning models for high-frequency financial data (limited order book)☆19Apr 2, 2019Updated 6 years ago
- algo trading backtesting on BitMEX☆81Dec 4, 2023Updated 2 years ago
- High-frequency trading in a limit order book☆59Apr 15, 2019Updated 6 years ago
- Alpha mining with DEAP-based genetic programming.☆11Jul 7, 2023Updated 2 years ago