Alternatives and similar repositories for VPIN_HFT

Users that are interested in VPIN_HFT are comparing it to the libraries listed below

• jheusser / vpin
  Volume-Synchronized Probability of Informed Trading
  ☆112Updated 11 years ago
• shaileshkakkar / MicroPriceIndicator
  This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in…
  ☆69Updated 7 years ago
• grayvalley / microprice-calibration
  Calibrates microprice model to BitMEX quote data
  ☆56Updated 3 years ago
• sapphire921 / HFT-Pairs-Trading
  High Frequency Pairs Trading Based on Statistical Arbitrage (Python)
  ☆102Updated 6 years ago
• hanxixuana / flowrisk
  A Python Implementation of Measures for Order Flow Risk, e.g. VPIN
  ☆92Updated 4 years ago
• xhshenxin / Micro_Price
  ☆49Updated 4 years ago
• alexbotsula / Price_direction_forecast
  ☆44Updated 5 years ago
• mmssss / hft-market-making
  Implementation of HFT backtesting simulator and Stoikov strategy
  ☆120Updated 2 years ago
• daehkim / pair-trading
  CS7641 Team project
  ☆95Updated 4 years ago
• rlindland / options-market-making
  A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging
  ☆73Updated 7 years ago
• orderbooktools / crobat
  Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.
  ☆51Updated 3 years ago
• hjeffreywang / Stock_feature_engineering
  Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…
  ☆70Updated 5 years ago
• shaileshkakkar / OrderImbalance
  Order Imbalance Strategy in High Frequency Trading
  ☆133Updated 6 years ago
• yt-feng / VPIN
  Order flow toxicity; Volume-Synchronized Probability of Informed Trading
  ☆89Updated 10 months ago
• lamres / orderbook_modeling
  Example of order book modeling.
  ☆56Updated 5 years ago
• jshellen / statarb
  ☆33Updated 3 years ago
• im1235 / EIE
  Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data
  ☆36Updated 4 years ago
• nkaz001 / market-making-backtest
  algo trading backtesting on BitMEX
  ☆77Updated last year
• keanekwa / Optiver-Ready-Trader-Go
  Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…
  ☆76Updated 2 years ago
• DYSIM / Avellaneda-Stoikov-Implementation
  An implementation of Avellaneda-Stoikov market making model after reading the seminal paper
  ☆31Updated 3 years ago
• jshellen / CTA-strategies
  Backtest result archive for Momentum Trading Strategies
  ☆58Updated 6 years ago
• jerryxyx / TreasuryFutureTrading
  A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change
  ☆76Updated 6 years ago
• hudson-and-thames / arbitrage_research
  Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.
  ☆115Updated last year
• jktis / Trade-Classification-Algorithms
  To classify trades into buyer- and seller-initiated.
  ☆144Updated 2 years ago
• hudson-and-thames / meta-labeling
  Code base for the meta-labeling papers published with the Journal of Financial Data Science
  ☆81Updated 2 years ago
• jo-cho / trading-rules-using-machine-learning
  Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.
  ☆64Updated 2 years ago
• armoreal / hft
  High Frequency Trading Strategies
  ☆45Updated 7 years ago
• WongYatChun / Advances-in-Financial-Machine-Learning
  Notes on Advances in Financial Machine Learning
  ☆79Updated 6 years ago
• mdibo / Avellaneda-Stoikov
  Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov
  ☆141Updated 5 years ago
• rspadim / hft-avellaneda
  High-frequency trading in a limit order book
  ☆58Updated 6 years ago