yt-feng / VPIN
Order flow toxicity; Volume-Synchronized Probability of Informed Trading
☆88Updated 9 months ago
Alternatives and similar repositories for VPIN:
Users that are interested in VPIN are comparing it to the libraries listed below
- ☆113Updated 7 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆92Updated 4 years ago
- Volume-Synchronized Probability of Informed Trading☆111Updated 11 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…☆69Updated 6 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- ☆49Updated 4 years ago
- Calibrates microprice model to BitMEX quote data☆56Updated 3 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆115Updated last year
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆80Updated 2 years ago
- algo trading backtesting on BitMEX☆76Updated last year
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆50Updated 3 years ago
- Probability of Backtest Overfitting in Python☆125Updated last year
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆102Updated 6 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆72Updated 7 years ago
- High-frequency trading in a limit order book☆58Updated 6 years ago
- Limit Order Book Implemented in Python☆93Updated 7 years ago
- Example of order book modeling.☆56Updated 5 years ago
- Notebooks based on financial machine learning.☆50Updated 4 years ago
- CS7641 Team project☆94Updated 4 years ago
- Deep learning modelling of orderbooks☆95Updated 4 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆70Updated 4 years ago
- Notes on Advances in Financial Machine Learning☆79Updated 6 years ago
- To classify trades into buyer- and seller-initiated.☆142Updated 2 years ago
- In this repository, an event-driven backtester is implemented based on QuantStart articles. The backtester is programmed in Python featur…☆62Updated 4 years ago
- Examples of nautilus script☆35Updated 4 months ago
- Research Repo (Archive)☆73Updated 4 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆141Updated 4 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆62Updated last year
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆60Updated 2 years ago