theopenstreet / VPIN_HFT
☆108Updated 7 years ago
Alternatives and similar repositories for VPIN_HFT:
Users that are interested in VPIN_HFT are comparing it to the libraries listed below
- This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in…☆67Updated 6 years ago
- ☆41Updated 5 years ago
- Volume-Synchronized Probability of Informed Trading☆110Updated 11 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆67Updated 4 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆101Updated 5 years ago
- Example of order book modeling.☆56Updated 5 years ago
- Calibrates microprice model to BitMEX quote data☆56Updated 3 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆82Updated 6 months ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆86Updated 4 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆103Updated last year
- ☆47Updated 3 years ago
- algo trading backtesting on BitMEX☆76Updated last year
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆49Updated 3 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆75Updated 6 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆66Updated last year
- Order Imbalance Strategy in High Frequency Trading☆127Updated 6 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆70Updated 7 years ago
- ☆29Updated 3 years ago
- Pair Trading Strategy using Machine Learning written in Python☆114Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆78Updated last year
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆96Updated 8 months ago
- A collection of homeworks of market microstructure models.☆218Updated 6 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆136Updated 4 years ago
- High-frequency trading in a limit order book☆57Updated 5 years ago
- Notes on Advances in Financial Machine Learning☆75Updated 6 years ago
- CS7641 Team project☆93Updated 4 years ago
- A financial trading method using machine learning.☆59Updated last year
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆65Updated 4 years ago
- Baruch MFE 2019 Spring☆36Updated 4 years ago