Alternatives and similar repositories for VPIN:

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

• theopenstreet / VPIN_HFT
  ☆108Updated 7 years ago
• jheusser / vpin
  Volume-Synchronized Probability of Informed Trading
  ☆110Updated 11 years ago
• hanxixuana / flowrisk
  A Python Implementation of Measures for Order Flow Risk, e.g. VPIN
  ☆86Updated 4 years ago
• DYSIM / Avellaneda-Stoikov-Implementation
  An implementation of Avellaneda-Stoikov market making model after reading the seminal paper
  ☆30Updated 3 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…
  ☆67Updated 6 years ago
• hudson-and-thames / meta-labeling
  Code base for the meta-labeling papers published with the Journal of Financial Data Science
  ☆78Updated last year
• orderbooktools / crobat
  Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.
  ☆49Updated 3 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)
  ☆101Updated 5 years ago
• rlindland / options-market-making
  A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging
  ☆70Updated 7 years ago
• nkaz001 / market-making-backtest
  algo trading backtesting on BitMEX
  ☆76Updated last year
• xhshenxin / Micro_Price
  ☆47Updated 3 years ago
• mmssss / hft-market-making
  Implementation of HFT backtesting simulator and Stoikov strategy
  ☆105Updated last year
• jerryxyx / TreasuryFutureTrading
  A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change
  ☆75Updated 6 years ago
• firmai / research
  Notebooks based on financial machine learning.
  ☆47Updated 4 years ago
• WongYatChun / Advances-in-Financial-Machine-Learning
  Notes on Advances in Financial Machine Learning
  ☆76Updated 6 years ago
• lamres / orderbook_modeling
  Example of order book modeling.
  ☆56Updated 5 years ago
• wangy8989 / Pairs-Trading-with-Machine-Learning
  Pair Trading Strategy using Machine Learning written in Python
  ☆114Updated 2 years ago
• jo-cho / trading-rules-using-machine-learning
  A financial trading method using machine learning.
  ☆58Updated last year
• rspadim / hft-avellaneda
  High-frequency trading in a limit order book
  ☆57Updated 5 years ago
• miroblog / limit_orderbook_prediction
  ☆136Updated 2 years ago
• daehkim / pair-trading
  CS7641 Team project
  ☆93Updated 4 years ago
• shaileshkakkar / OrderImbalance
  Order Imbalance Strategy in High Frequency Trading
  ☆128Updated 6 years ago
• tobiasbrodd / backtester
  An event-driven backtester
  ☆97Updated 5 years ago
• DavidCico / Enhanced-Event-Driven-Backtester
  In this repository, an event-driven backtester is implemented based on QuantStart articles. The backtester is programmed in Python featur…
  ☆59Updated 3 years ago
• yukit-k / ai-alpha
  AI based alpha research for trading
  ☆46Updated 2 years ago
• AI-Stuff / hudson-and-thames-research
  Research Repo (Archive)
  ☆70Updated 4 years ago
• Globe-Research / deep-orderbook
  Deep learning modelling of orderbooks
  ☆92Updated 4 years ago
• sanjeevai / multi-factor-model
  Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…
  ☆128Updated 6 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…
  ☆69Updated 4 years ago