yt-feng / VPINLinks
Order flow toxicity; Volume-Synchronized Probability of Informed Trading
☆97Updated last year
Alternatives and similar repositories for VPIN
Users that are interested in VPIN are comparing it to the libraries listed below
Sorting:
- ☆123Updated 8 years ago
- Volume-Synchronized Probability of Informed Trading☆113Updated 12 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…☆73Updated 7 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆97Updated 5 years ago
- Notes on Advances in Financial Machine Learning☆84Updated 7 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆102Updated 6 years ago
- CS7641 Team project☆97Updated 5 years ago
- Order Imbalance Strategy in High Frequency Trading☆141Updated 7 years ago
- High-frequency trading in a limit order book☆59Updated 6 years ago
- Calibrates microprice model to BitMEX quote data☆63Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Updated 4 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆70Updated last year
- Backtest result archive for Momentum Trading Strategies☆67Updated 6 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆38Updated 5 years ago
- ☆55Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆97Updated 2 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆54Updated 4 years ago
- algo trading backtesting on BitMEX☆80Updated 2 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆143Updated 2 years ago
- ☆38Updated 4 years ago
- Repo for HFT project in CMF☆29Updated 3 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆75Updated 5 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆79Updated 8 years ago
- Example of order book modeling.☆58Updated 6 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆92Updated 2 years ago
- Deep learning modelling of orderbooks☆102Updated 5 years ago
- High Frequency Trading Strategies☆49Updated 8 years ago
- Delta hedging under SABR model☆44Updated last year
- Pairs Trading with Machine Learning on Distributed Python Platform☆125Updated 3 years ago
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆74Updated 3 years ago