Reinforcement learning environment for trading

A collection of homeworks of market microstructure models.

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

Fast price-time-quantity LOB in C11

Course projects of mathematical market microstructure.

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

High Frequency Jump Prediction Project

MFM workshop project

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

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

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

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

Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio (Sangadiev et al., 2020), etc.

Implementation of the paper <Model-based Reinforcement Learning for Predictions and Control for Limit Order Books (Wei et al., J.P. Morgan AI Research, 2019)>.

Quantifi Sogang

some useful papers.

High Frequency Analysis Based On Level-2 Data（Limit Order Book& Transaction Data)

The model focuses on predicting the impact of trading activities on stock prices using order flow imbalance, trading volume and price change