sandstorm111 Goto Github PK
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sandstorm111's Projects
adv_fin_ml_exercises
Experimental solutions to selected exercises from the book [Advances in Financial Machine Learning by Marcos Lopez De Prado]
avellanedastoikov
AS model performance versus trivial delta for market-makers
ccapi
A header-only C++ library for interacting with crypto exchanges. Binding for Python is provided. A spot market making application is also provided as an end-to-end solution for liquidity providers.
drqn_stock_trading
This is the code implementation of the paper "Financial Trading as a Game: A Deep Reinforcement Learning Approach".
flowrisk
A Python Implementation of Measures for Order Flow Risk, e.g. VPIN
hft
High Frequency Market Making
hftbacktest
A high-frequency trading and market-making backtesting tool accounts for limit orders, queue positions, and latencies, utilizing full tick data for trades and order books.
marketneutral
microprice-calibration
Calibrates microprice model to BitMEX quote data
solution_to_the_inventory_risk
solution_to_the_inventory_risk
statarb
vpin
Order flow toxicity; Volume-Synchronized Probability of Informed Trading
vpin_hft
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