jshellen/hft

High Frequency Market Making

HFT

This repository contains semi random collection of "High Frequency Market Making" algorithms created using stochastic optimal control. Resulting Dynamic Programming Equations are solved using simple Euler finite difference scheme.

AS++

• Avellaneda Stoikov inspired model
• Terminal inventory penalty
• Running inventory penalty

ASAS

• Avellaneda Stoikov inspired model
• Terminal inventory penalty
• Running inventory penalty
• Factors adverse selection into the optimal distances

AS+++

• Avellaneda Stoikov inspired model
• Terminal inventory penalty
• Running inventory penalty
• Hedging areas using QVI conditions over value function
• Factors liquidity rebate into the optimal distances

ASMP

• Avellaneda Stoikov inspired model
• Incorporates Stoikov's Micro-Price model into the optimal decision to either be at the best bid or offer.

hft's Issues

ASMP

Hello, why can't I find ASMP, will it be updated in the future?