The code used for estimating the optimal market-making strategy on a limit order book with two limits on each side. See AlgoTrading for more details.
-
Notifications
You must be signed in to change notification settings - Fork 12
Some codes used for the numerical examples proposed in https://hal.archives-ouvertes.fr/hal-01514987v2 and https://arxiv.org/abs/1705.01446
comeh/LOB_AlgoTrading
Folders and files
| Name | Name | Last commit message | Last commit date | |
|---|---|---|---|---|
Repository files navigation
About
Some codes used for the numerical examples proposed in https://hal.archives-ouvertes.fr/hal-01514987v2 and https://arxiv.org/abs/1705.01446
Topics
Resources
Stars
Watchers
Forks
Releases
No releases published
Packages 0
No packages published