market-microstructure

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

GUI for enterprise level high frequency trading systems, making focus on visualizing market microstructure analytics, such Limit Order Book dynamic, latencies, execution quality, and other analytics. WPF & C#

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.

Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.

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

Reinforcement learning environment for trading

A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992) and Easley et al. (1996); Multilayer PIN (MPIN) in Ersan (2016); Adjusted PIN (AdjPIN) in Duarte and Young (2009); and volume-synchronized PIN (VPIN) in Easley et al. (2011, 2012). Implementations of various …

Limit order book (LOB) driven simultaneous time-series estimation in real-market-microstructure

Price response function and spread impact analysis in correlated financial markets

Fast price-time-quantity LOB in C11

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

Price response function and spread impact analysis in foreign exchange markets

Code for my senior thesis: "The Effect of Payment for Order Flow on Order Routing to Market Centers"

An R package for Bayesian estimation of the probability of informed trading.

Project presented as a partial fullfilment requirement for the Cardano Developer Professional (CDP) program. An implementation of the Stochastic Supply Curve (Çetin, Jarrow & Protter, 2006) based on Blais & Protter (2010), Árdal (2013) and Hossaka (2018) approaches through Binance's API endpoint live feed data.