lcsrodriguez / optimalHFT

HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)

Date Created 2023-04-27 (about a year ago)

Commits 21 (last one 8 months ago)

Stargazers 26 (0 this week)

Watchers 1 (0 this week)

Forks 8

License gpl-3.0

Ranking

RepositoryStats indexes 589,134 repositories, of these lcsrodriguez/optimalHFT is ranked #578,915 (2nd percentile) for total stargazers, and #539,476 for total watchers. Github reports the primary language for this repository as Jupyter Notebook, for repositories using this language it is ranked #16,857/17,281.

lcsrodriguez/optimalHFT is also tagged with popular topics, for these it's ranked: optimization (#882/889)

All Topics

hft l1-data calibration optimization market-making poisson-process cox-point-process stochastic-control parameters-estimation high-frequency-trading

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21 commits on the default branch (main) since jan '22

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The only known language in this repository is Jupyter Notebook

updated: 2024-10-08 @ 01:09am, id: 633336883 / R_kgDOJb_0Mw