xhshenxin / Micro_PriceLinks
☆53Updated 4 years ago
Alternatives and similar repositories for Micro_Price
Users that are interested in Micro_Price are comparing it to the libraries listed below
Sorting:
- Calibrates microprice model to BitMEX quote data☆60Updated 4 years ago
- ☆37Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆32Updated 4 years ago
- ☆120Updated 7 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
- Baruch MFE 2019 Spring☆41Updated 5 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆92Updated 2 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- Time Series Prediction of Volume in LOB☆58Updated last year
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆97Updated 4 years ago
- Backtest result archive for Momentum Trading Strategies☆64Updated 6 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆69Updated 2 years ago
- High-frequency trading in a limit order book☆59Updated 6 years ago
- ☆24Updated 5 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆69Updated last year
- High Frequency Trading Strategies☆48Updated 8 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆94Updated last year
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆31Updated 4 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆17Updated 7 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- Literature survey of order execution strategies implemented in python☆43Updated 5 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Notes on Advances in Financial Machine Learning☆82Updated 6 years ago
- Research Repo (Archive)☆75Updated 5 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Estimation of the lead-lag parameter from non-synchronous data.☆132Updated 7 months ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆34Updated 4 years ago
- Deep learning modelling of orderbooks☆101Updated 5 years ago