theopenstreet / VPIN_HFTLinks
☆118Updated 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
Sorting:
- Volume-Synchronized Probability of Informed Trading☆113Updated 11 years ago
- This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in…☆72Updated 7 years ago
- Order Imbalance Strategy in High Frequency Trading☆139Updated 7 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆95Updated 4 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆93Updated last year
- algo trading backtesting on BitMEX☆82Updated last year
- Example of order book modeling.☆58Updated 6 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆32Updated 4 years ago
- Calibrates microprice model to BitMEX quote data☆61Updated 4 years ago
- ☆52Updated 4 years ago
- ☆36Updated 4 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆72Updated 5 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆104Updated 6 years ago
- Backtest result archive for Momentum Trading Strategies☆64Updated 6 years ago
- Pair Trading Strategy using Machine Learning written in Python☆121Updated 3 years ago
- CS7641 Team project☆96Updated 5 years ago
- Deep learning modelling of orderbooks☆100Updated 4 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆54Updated 4 years ago
- High-frequency trading in a limit order book☆59Updated 6 years ago
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆174Updated 6 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆68Updated last year
- #易经 #道家 #十二生肖 #姓氏堂号子嗣贞节牌坊 #天文历法 #张灯结彩 #农历 #夜观星象 #廿四节气 #算卜 #紫微斗数 #十二时辰 #生辰八字 #命运 #风水 《始祖赢政之子赢家黄氏江夏堂联富•秦谏——大秦赋》 万般皆下品，唯有读书高。🚩🇨🇳🏹🦔中科红旗，…☆50Updated 5 months ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆79Updated 7 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆134Updated 2 years ago
- To classify trades into buyer- and seller-initiated.☆151Updated 2 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- Delta hedging under SABR model☆35Updated last year
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆34Updated 3 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆219Updated 2 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆86Updated 2 years ago