sstoikov / microprice
☆360Updated 3 years ago
Related projects ⓘ
Alternatives and complementary repositories for microprice
- High Frequency Market Making☆407Updated last year
- Avellaneda-Stoikov HFT market making algorithm implementation☆435Updated last year
- HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-ma…☆209Updated 6 months ago
- experiments with pair trading☆255Updated 3 weeks ago
- A collection of homeworks of market microstructure models.☆209Updated 6 years ago
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆191Updated 2 years ago
- High frequency trading (HFT) framework built for futures using machine learning and deep learning techniques☆367Updated 2 years ago
- GPU-accelerated Factors analysis library and Backtester☆646Updated 11 months ago
- Code implementation of the Quantigic 101 Formulaic Alphas☆437Updated 5 years ago
- ☆186Updated last year
- Nasdaq Order Book Reconstructor☆228Updated 3 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆167Updated last year
- Performance analysis of predictive (alpha) stock factors☆321Updated last month
- Deep Learning Statistical Arbitrage☆200Updated 2 years ago
- ☆310Updated 8 months ago
- High-frequency statistical arbitrage☆149Updated last year
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆232Updated last year
- High frequency trading bot for crypto currencies☆369Updated 2 years ago
- This code accompanies the the paper Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture (https://arxiv.o…☆472Updated 11 months ago
- algorithmic trading backtest and optimization examples using order book imbalances. (bitcoin, cryptocurrency, bitmex, binance futures, ma…☆286Updated 11 months ago
- Analysis on systematic trading strategies (e.g., trend-following, carry and mean-reversion). The result is regularly updated.☆485Updated this week
- This jupyter notebook is used to demonstrate our recent work, "DeepLOB: Deep Convolutional Neural Networks for Limit Order Books", publis…☆412Updated 3 years ago
- Modular Python library that provides an advanced event driven backtester and a set of high quality tools for quantitative finance. Integr…☆560Updated this week
- An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implemen…☆343Updated 6 years ago
- To classify trades into buyer- and seller-initiated.☆128Updated last year
- Asynchronous, event-driven algorithmic trading in Python and C++☆676Updated this week
- Intelligently optimizes technical indicators and optionally selects the least intercorrelated for use in machine learning models☆413Updated last year
- Limit Order Book data analysis and modeling using LSTM network☆126Updated 5 years ago
- PyTrendFollow - systematic futures trading using trend following☆377Updated 6 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆133Updated 4 years ago