rune-l / HighFrequency
High Frequency Jump Prediction Project
☆35Updated 4 years ago
Alternatives and similar repositories for HighFrequency:
Users that are interested in HighFrequency are comparing it to the libraries listed below
- High Frequency Trading Strategies☆41Updated 7 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆44Updated 4 years ago
- Literature survey of order execution strategies implemented in python☆41Updated 4 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆33Updated 5 years ago
- High frequency trading algorithm for Bitmex☆21Updated 4 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- Simulator of a basic order book flow and order execution☆17Updated last year
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆12Updated 2 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- Trend Prediction for High Frequency Trading☆39Updated 2 years ago
- A low frequency statistical arbitrage strategy☆19Updated 6 years ago
- Collection of Models related to market making☆16Updated 4 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 5 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆55Updated last year
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 3 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆27Updated 3 years ago
- ☆15Updated 2 years ago
- Custom Loss functions for asset return prediction with deep learning regression☆34Updated 2 years ago
- 基于基因表达式规划算法的因子挖掘☆29Updated 3 years ago
- ☆49Updated 3 years ago
- AS model performance versus trivial delta for market-makers☆18Updated 3 years ago
- Develop about 200 alpha factors from securities report etc, Grid Search/Random Search/Particle Swarm Optimization to improve factors perf…☆20Updated 6 years ago
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆28Updated 11 months ago
- Market making strategies and scientific papers☆13Updated last year
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆41Updated last year
- Exploring Optimal Order Execution in Simulated Limit Order Books☆16Updated 2 years ago
- Deep learning for limit order book trading and mid-price movement☆49Updated 4 years ago
- ☆21Updated 5 years ago
- Collection of numerical methods for high frequency data, in Python notebooks☆13Updated 4 years ago