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lcsrodriguez
optimalHFT lcsrodriguez
8
27
gpl-3.0
1
HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)
hft l1-data calibration optimization market-making poisson-process cox-point-process stochastic-control parameters-estimation high-frequency-trading
Created 2023-04-27
21 commits to main branch, last one 8 months ago