The Wayback Machine - https://web.archive.org/web/20201103041841/https://github.com/topics/market-microstructure

#

market-microstructure

Here are 9 public repositories matching this topic...

rorysroes / SGX-Full-OrderBook-Tick-Data-Trading-Strategy

Star

Providing the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Tick Data.

python machine-learning trading feature-selection model-selection quant trading-strategies investment market-maker feature-engineering algorithmic-trading backtesting-trading-strategies limit-order-book quantitative-trading orderbook market-microstructure high-frequency-trading market-making orderbook-tick-data

Updated Feb 14, 2017
Jupyter Notebook

mtompkins / openAlgo

Star

💹 openAlgo is a public repository for various work product relavant to algorithms and the high frequency low latency electronic trading space with a bias toward market microstructure as well as exchange traded futures and options.

c-plus-plus algorithm trading matlab trading-strategies trading-algorithms algorithmic-trading exchange-traded-futures market-microstructure

Updated Oct 8, 2020
MATLAB

ChuaCheowHuan / gym-continuousDoubleAuction

Star

A custom MARL (multi-agent reinforcement learning) environment where multiple agents trade against one another (self-play) in a zero-sum continuous double auction. Ray [RLlib] is used for training.

lstm quantitative-finance ray limit-order-book quantitative-trading financial-engineering market-microstructure zero-sum high-frequency-trading gym-environment ppo self-play double-auction multi-agent-reinforcement-learning rllib marl n-player zero-sum-games

Updated Sep 25, 2020
Jupyter Notebook

coorung / Finance-World

Star

Optimization techniques on the financial area for the hedging, investment starategies, and risk measures

finance machine-learning reinforcement-learning deep-learning deep-reinforcement-learning risk-management financial-engineering market-microstructure

Updated Apr 6, 2020
Jupyter Notebook

drewstone / gym-trading

Star

Reinforcement learning environment for trading

reinforcement-learning cryptocurrency limit-order-book market-microstructure

Updated Jan 27, 2018
Python

financial_response_spread_year

juanhenao21 / financial_response_spread_year

Star

Price response function and spread impact analysis in correlated financial markets

financial-data market-microstructure econophysics market-analysis nasdaq-itch totalview-itch nasdaq-taq

Updated Nov 2, 2020
Jupyter Notebook

emmajy-li / empirical-assignment

Star

A collection of sample codes designed as assignments for students taking Market Microstructure

stock-price-prediction market-microstructure

Updated Oct 7, 2018
R

jmcph4 / ironbook

Star

Fast price-time-quantity LOB in C11

market matching quant lob quantitative-finance order-book limit-order-book matching-engine orderbook ecn market-microstructure qu

Updated Jul 4, 2019
C

juanhenao21 / forex_response_spread_year

Star

Price response function and spread impact analysis in foreign exchange markets

market-microstructure econophysics histdata market-analysis forex-data

Updated Oct 26, 2020
Python

Improve this page

Add a description, image, and links to the market-microstructure topic page so that developers can more easily learn about it.

Curate this topic

Add this topic to your repo

To associate your repository with the market-microstructure topic, visit your repo's landing page and select "manage topics."

You can’t perform that action at this time.