Order flow toxicity; Volume-Synchronized Probability of Informed Trading
☆104Apr 30, 2026Updated 6 months ago
Alternatives and similar repositories for VPIN
Users that are interested in VPIN are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Volume-Synchronized Probability of Informed Trading☆117Oct 13, 2013Updated 13 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…☆43Aug 19, 2020Updated 6 years ago
- ☆132Dec 12, 2017Updated 8 years ago
- Vpin caculation and backtesting☆14Aug 16, 2019Updated 7 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆99Jan 1, 2021Updated 5 years ago
- Deploy open-source AI quickly and easily - Special Bonus Offer • AdRunpod Hub is built for open source. One-click deployment and autoscaling endpoints without provisioning your own infrastructure.
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆43Updated this week
- Source code for the course "Deep Reinforcement Learning for High-Frequency Trading" held at the Ukrainian Catholic University / Czech Tec…☆20Sep 11, 2022Updated 4 years ago
- Repo for HFT project in CMF☆29Jan 4, 2023Updated 3 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 6 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆24Jan 16, 2018Updated 8 years ago
- Implementing a medium freq trading strategy by estimating price impact via order flow.☆17Sep 21, 2020Updated 6 years ago
- ☆486Jan 10, 2021Updated 5 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆155May 6, 2023Updated 3 years ago
- Limit Order Book Convolutional Neural Network trading bot☆14Jul 24, 2022Updated 4 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- 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 9 years ago
- R Package for Fast and Stable Estimation of the Probability of Informed Trading (PIN)☆14May 3, 2022Updated 4 years ago
- Algorithmic and high-frequency trading book☆27Aug 5, 2020Updated 6 years ago
- Using reinforcement learning to make markets in the high frequency trading setting.☆31May 30, 2026Updated 5 months ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆19Dec 8, 2022Updated 3 years ago
- 基于 TheNextQuant 的量化交易框架☆21Aug 14, 2022Updated 4 years ago
- Limit Order Book data analysis and modeling using LSTM network☆137Mar 27, 2019Updated 7 years ago
- Robust Market Making via Adversarial Reinforcement Learning☆57Apr 24, 2020Updated 6 years ago
- Python library for high frequency portfolio analysis, intraday backtesting and optimization☆70Aug 8, 2017Updated 9 years ago
- Simple, predictable pricing with DigitalOcean hosting • AdAlways know what you'll pay with monthly caps and flat pricing. Enterprise-grade infrastructure trusted by 600k+ customers.
- Deep learning for price movement prediction using high frequency limit order data☆38Oct 8, 2018Updated 8 years ago
- High Frequency Trading Strategies☆49Aug 14, 2017Updated 9 years ago
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆281Apr 12, 2022Updated 4 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆55May 4, 2026Updated 6 months ago
- Realtime Algorithmic Trading Using Deep Reinforcement Learning☆40Aug 6, 2026Updated 3 months ago
- Market Making via Reinforcement Learning☆348Nov 4, 2019Updated 7 years ago
- Seeking Alpha, Machine Learning, ETFs Strategy☆21Nov 2, 2022Updated 4 years ago
- RestAPI+Websocket client based on Boost.Beast. Binance, Huobi, Gateio, Currencycom launched☆20Aug 16, 2023Updated 3 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 9 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- ☆25Dec 18, 2015Updated 10 years ago
- ☆11Oct 6, 2020Updated 6 years ago
- We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cos…☆11Apr 8, 2020Updated 6 years ago
- High Frequency Trading Strategy☆12Dec 20, 2018Updated 7 years ago
- Order Imbalance Strategy in High Frequency Trading☆147Jun 4, 2018Updated 8 years ago
- The intraday seasonality of volatility and trading volume in the cryptocurrency market☆14Oct 20, 2026Updated 2 weeks ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆76Mar 4, 2024Updated 2 years ago