Estimation of the lead-lag parameter from non-synchronous data.
☆142Apr 1, 2025Updated last year
Alternatives and similar repositories for lead-lag
Users that are interested in lead-lag are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- ☆20May 17, 2020Updated 6 years ago
- Hawkes with Latency☆20Jan 16, 2021Updated 5 years ago
- ☆21Nov 4, 2022Updated 3 years ago
- ☆69Apr 10, 2021Updated 5 years ago
- Implementation of the paper <Model-based Reinforcement Learning for Predictions and Control for Limit Order Books (Wei et al., J.P. Morga…☆12Aug 22, 2023Updated 2 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Symbolic sequence learning package☆12Dec 8, 2025Updated 7 months ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆39Dec 6, 2023Updated 2 years ago
- ☆471Jan 10, 2021Updated 5 years ago
- A collection of homeworks of market microstructure models.☆292May 4, 2018Updated 8 years ago
- ☆39Aug 2, 2021Updated 4 years ago
- ☆13May 27, 2023Updated 3 years ago
- AS model performance versus trivial delta for market-makers☆21Jan 13, 2022Updated 4 years ago
- Sample BitMEX Market Making Bot☆30Apr 8, 2021Updated 5 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆36Nov 3, 2021Updated 4 years ago
- GPU virtual machines on DigitalOcean Gradient AI • AdGet to production fast with high-performance AMD and NVIDIA GPUs you can spin up in seconds. The definition of operational simplicity.
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆275Apr 12, 2022Updated 4 years ago
- Collection of numerical methods for high frequency data, in Python notebooks☆13Mar 10, 2021Updated 5 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆15Jul 17, 2023Updated 3 years ago
- Introducing more of the standard library☆26Aug 6, 2024Updated last year
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆41Jan 3, 2021Updated 5 years ago
- Calibrates microprice model to BitMEX quote data☆65Jul 1, 2021Updated 5 years ago
- The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to ma…☆162Dec 15, 2025Updated 7 months ago
- Process tardis.dev cryptocurrency data, reconstructing the market depth and computing imbalance.☆20May 3, 2021Updated 5 years ago
- ☆216Mar 29, 2023Updated 3 years ago
- Managed Database hosting by DigitalOcean • AdPostgreSQL, MySQL, MongoDB, Kafka, Valkey, and OpenSearch available. Automatically scale up storage and focus on building your apps.
- trend / momentum and other patterns in financial timeseries☆291Jun 27, 2021Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆127Jan 10, 2024Updated 2 years ago
- algo trading backtesting on BitMEX☆82Dec 4, 2023Updated 2 years ago
- Time Series Prediction of Volume in LOB☆61Apr 17, 2024Updated 2 years ago
- Exponentially-weighted recursive least squares (EW-RLS) for online linear regression.☆15Jul 17, 2026Updated last week
- This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in…☆77Jun 3, 2018Updated 8 years ago
- Collection of Models related to market making☆18Jan 25, 2021Updated 5 years ago
- Kalman Filter, Smoother, and EM Algorithm for Python☆14Sep 4, 2023Updated 2 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆42Jul 5, 2023Updated 3 years ago
- Deploy open-source AI quickly and easily - Special Bonus Offer • AdRunpod Hub is built for open source. One-click deployment and autoscaling endpoints without provisioning your own infrastructure.
- mbt_gym is a module which provides a suite of gym environments for training reinforcement learning (RL) agents to solve model-based high-…☆176Jan 8, 2024Updated 2 years ago
- ☆11Dec 18, 2015Updated 10 years ago
- Parametric estimation of multivariate Hawkes processes with general kernels.☆14May 27, 2024Updated 2 years ago
- Mean Reversion Trading Strategy☆30Apr 20, 2021Updated 5 years ago
- A market making algorithm based on the Avellaneda Stoikov paper on Deribit derivatives exchange. A gradient boosted model is used for vol…☆22Feb 2, 2025Updated last year
- For code and snippets for STA 2536: Data Science for Risk Modeling☆14Nov 21, 2021Updated 4 years ago
- Open source TCA (transaction cost analysis) Python library for FX spot☆252Feb 2, 2024Updated 2 years ago