GitHub / lcsrodriguez / optimalHFT
HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)
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PURL: pkg:github/lcsrodriguez/optimalHFT
Stars: 13
Forks: 5
Open issues: 0
License: gpl-3.0
Language: Jupyter Notebook
Size: 559 KB
Dependencies parsed at: Pending
Created at: about 2 years ago
Updated at: over 1 year ago
Pushed at: over 1 year ago
Last synced at: over 1 year ago
Commit Stats
Commits: 19
Authors: 1
Mean commits per author: 19.0
Development Distribution Score: 0.0
More commit stats: https://commits.ecosyste.ms/hosts/GitHub/repositories/lcsrodriguez/optimalHFT
Topics: calibration, cox-point-process, hft, high-frequency-trading, l1-data, market-making, optimization, parameters-estimation, poisson-process, stochastic-control