yt-feng / VPINView external linksLinks
Order flow toxicity; Volume-Synchronized Probability of Informed Trading
☆99Jul 29, 2024Updated last year
Alternatives and similar repositories for VPIN
Users that are interested in VPIN are comparing it to the libraries listed below
Sorting:
- Volume-Synchronized Probability of Informed Trading☆113Oct 13, 2013Updated 12 years ago
- Vpin caculation and backtesting☆14Aug 16, 2019Updated 6 years ago
- ☆124Dec 12, 2017Updated 8 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆98Jan 1, 2021Updated 5 years ago
- Implementation of PIN ( Probability of Informed trading) on A-Share daily public data (based on Yan Y, Zhang S. An improved estimation me…☆41Aug 19, 2020Updated 5 years ago
- Application of VPIN in cyrptocurrency market.☆21Mar 16, 2019Updated 6 years ago
- Limit Order Book Convolutional Neural Network trading bot☆14Jul 24, 2022Updated 3 years ago
- ☆25Dec 18, 2015Updated 10 years ago
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆40Dec 17, 2025Updated last month
- Algorithmic and high-frequency trading book☆18Aug 5, 2020Updated 5 years ago
- ☆434Jan 10, 2021Updated 5 years ago
- Order Imbalance Strategy in High Frequency Trading☆141Jun 4, 2018Updated 7 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆20Dec 8, 2022Updated 3 years ago
- Robust Market Making via Adversarial Reinforcement Learning☆54Apr 24, 2020Updated 5 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆31Apr 30, 2020Updated 5 years ago
- Using reinforcement learning to make markets in the high frequency trading setting.☆23Apr 8, 2025Updated 10 months ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆144May 6, 2023Updated 2 years ago
- A 3 part series of Jupyter notebooks to help one find alpha in the stock market with AI☆20Jun 10, 2023Updated 2 years ago
- Repo for HFT project in CMF☆29Jan 4, 2023Updated 3 years ago
- Source code for the course "Deep Reinforcement Learning for High-Frequency Trading" held at the Ukrainian Catholic University / Czech Tec…☆20Sep 11, 2022Updated 3 years ago
- Replication of study Avellaneda, Marco, and Sasha Stoikov: High-frequency trading in a limit order book. Quantitative Finance 8.3 (2008):…☆92Oct 30, 2017Updated 8 years ago
- ☆11Oct 6, 2020Updated 5 years ago
- We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cos…☆10Apr 8, 2020Updated 5 years ago
- High Frequency Trading Strategy☆12Dec 20, 2018Updated 7 years ago
- RestAPI+Websocket client based on Boost.Beast. Binance, Huobi, Gateio, Currencycom launched☆21Aug 16, 2023Updated 2 years ago
- High performance trading Matching Engine / Market Simulator using Level 3 Market Data for realistic simulation of High Frequency Trading …☆120May 3, 2024Updated last year
- Machine learning approach to high frequency trading, MLP & RNN used☆22Jun 22, 2016Updated 9 years ago
- ☆18Sep 18, 2020Updated 5 years ago
- Benchmark Dataset of Limit Order Book in China Markets☆215Mar 23, 2021Updated 4 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 8 years ago
- source : http://coin.wne.uw.edu.pl/pwojcik/hfd_en.html☆38Jul 12, 2018Updated 7 years ago
- Some codes used for the numerical examples proposed in https://hal.archives-ouvertes.fr/hal-01514987v2 and https://arxiv.org/abs/1705.014…☆23May 3, 2019Updated 6 years ago
- High Frequency Analysis Based On Level-2 Data(Limit Order Book& Transaction Data)☆115May 20, 2024Updated last year
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆72Mar 27, 2023Updated 2 years ago
- Market Making via Reinforcement Learning☆341Nov 4, 2019Updated 6 years ago
- High Frequency Trading☆110Jun 10, 2018Updated 7 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆72Mar 4, 2024Updated last year
- Pairs Trading in CTA trending strategy backtesting, by iterateing parameters on the last 6 months and pick the optimal one, then start tr…☆11Sep 13, 2017Updated 8 years ago
- Market making strategies and scientific papers☆14Aug 20, 2023Updated 2 years ago