Replication codes for the paper.
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Updated
Mar 6, 2023 - Stata
Replication codes for the paper.
Identyfing stylized facts of online sports betting markets by analysing high frequency data from Betfair UK horse racing markets.
Custom built Decision Tree + Boosted Trees + KernelPLS in python
SIMOTION Trace connector is a web-based application running on SIEMENS Industrial Edge
High frequency dynamics signal processing and analysis.
The SIMATIC library "LEdgeBuffer" allows creating a local buffer in the PLC to sample high speed signals. This buffer and the recording job can be accessed and controled via OPC-UA.
Code and documents from Econ 690 at Duke
Companion to publication "Understanding Jumps in High Frequency Digital Asset Markets". Contains scalable implementations of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy high frequency data
Build your own historical Limit Order Book dataset
We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.
Python Library for Transaction Cost Analysis (TCA)
VisualHFT is a cutting-edge GUI platform for market analysis, focusing on real-time visualization of market microstructure. Built with WPF & C#, it displays key metrics like Limit Order Book dynamics and execution quality. Its modular design ensures adaptability for developers and traders, enabling tailored analytical solutions.
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