├── README.md ├── doc ├── 10_statistical_properties_of_stock_orderbooks.pdf ├── 11_authomated_market_making.pdf ├── 12_Fernandez_Tapia_thesis.pdf ├── 1_Avellaneda-Stoikov_high_frequency_trading_in_a_limit_order_book.pdf ├── 2_Avellaneda-Stoikov_high_frequency_trading_in_a_limit_order_book_2_version.pdf ├── 3_Bayraktar-Ludkovski_optimal_trade_execution_in_iliquid_markets.pdf ├── 4_Gueant-Lehalle_dealing_with_the_inventory_risk.pdf ├── 5_hyperquant_crypto.pdf ├── 6_market_making_and_mean_reversion.pdf ├── 7_market_microstructure.pdf ├── 8_a_theory_of_power-law_listributions_in_linancial_market_activity.pdf └── 9_optimal_dealer_pricing.pdf ├── img ├── pnl_distribution.png └── simulation01.png └── src ├── .gitignore ├── brownian.py ├── brownian_paths.py ├── main.py └── requirements.txt /README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/fedecaccia/avellaneda-stoikov/HEAD/README.md -------------------------------------------------------------------------------- /doc/10_statistical_properties_of_stock_orderbooks.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/fedecaccia/avellaneda-stoikov/HEAD/doc/10_statistical_properties_of_stock_orderbooks.pdf -------------------------------------------------------------------------------- /doc/11_authomated_market_making.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/fedecaccia/avellaneda-stoikov/HEAD/doc/11_authomated_market_making.pdf -------------------------------------------------------------------------------- /doc/12_Fernandez_Tapia_thesis.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/fedecaccia/avellaneda-stoikov/HEAD/doc/12_Fernandez_Tapia_thesis.pdf -------------------------------------------------------------------------------- /doc/1_Avellaneda-Stoikov_high_frequency_trading_in_a_limit_order_book.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/fedecaccia/avellaneda-stoikov/HEAD/doc/1_Avellaneda-Stoikov_high_frequency_trading_in_a_limit_order_book.pdf -------------------------------------------------------------------------------- /doc/2_Avellaneda-Stoikov_high_frequency_trading_in_a_limit_order_book_2_version.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/fedecaccia/avellaneda-stoikov/HEAD/doc/2_Avellaneda-Stoikov_high_frequency_trading_in_a_limit_order_book_2_version.pdf -------------------------------------------------------------------------------- /doc/3_Bayraktar-Ludkovski_optimal_trade_execution_in_iliquid_markets.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/fedecaccia/avellaneda-stoikov/HEAD/doc/3_Bayraktar-Ludkovski_optimal_trade_execution_in_iliquid_markets.pdf -------------------------------------------------------------------------------- /doc/4_Gueant-Lehalle_dealing_with_the_inventory_risk.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/fedecaccia/avellaneda-stoikov/HEAD/doc/4_Gueant-Lehalle_dealing_with_the_inventory_risk.pdf -------------------------------------------------------------------------------- /doc/5_hyperquant_crypto.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/fedecaccia/avellaneda-stoikov/HEAD/doc/5_hyperquant_crypto.pdf -------------------------------------------------------------------------------- /doc/6_market_making_and_mean_reversion.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/fedecaccia/avellaneda-stoikov/HEAD/doc/6_market_making_and_mean_reversion.pdf -------------------------------------------------------------------------------- /doc/7_market_microstructure.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/fedecaccia/avellaneda-stoikov/HEAD/doc/7_market_microstructure.pdf -------------------------------------------------------------------------------- /doc/8_a_theory_of_power-law_listributions_in_linancial_market_activity.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/fedecaccia/avellaneda-stoikov/HEAD/doc/8_a_theory_of_power-law_listributions_in_linancial_market_activity.pdf -------------------------------------------------------------------------------- /doc/9_optimal_dealer_pricing.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/fedecaccia/avellaneda-stoikov/HEAD/doc/9_optimal_dealer_pricing.pdf -------------------------------------------------------------------------------- /img/pnl_distribution.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/fedecaccia/avellaneda-stoikov/HEAD/img/pnl_distribution.png -------------------------------------------------------------------------------- /img/simulation01.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/fedecaccia/avellaneda-stoikov/HEAD/img/simulation01.png -------------------------------------------------------------------------------- /src/.gitignore: -------------------------------------------------------------------------------- 1 | .vscode/ 2 | __pycache__/ 3 | venv/ -------------------------------------------------------------------------------- /src/brownian.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/fedecaccia/avellaneda-stoikov/HEAD/src/brownian.py -------------------------------------------------------------------------------- /src/brownian_paths.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/fedecaccia/avellaneda-stoikov/HEAD/src/brownian_paths.py -------------------------------------------------------------------------------- /src/main.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/fedecaccia/avellaneda-stoikov/HEAD/src/main.py -------------------------------------------------------------------------------- /src/requirements.txt: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/fedecaccia/avellaneda-stoikov/HEAD/src/requirements.txt --------------------------------------------------------------------------------