├── .gitignore ├── LICENSE.md ├── README.md ├── img ├── mm_S.png ├── mm_cash.png ├── mm_inventory.png ├── mm_pnl.png ├── mm_pnl_dist.png └── opt_exec.png ├── report.pdf └── src ├── environment.yml ├── theMarketMakingStrategy.py ├── theOptimalExecutionStrategy.py └── theSetup.py /.gitignore: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/layoups/microstructure-and-liquidity/HEAD/.gitignore -------------------------------------------------------------------------------- /LICENSE.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/layoups/microstructure-and-liquidity/HEAD/LICENSE.md -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/layoups/microstructure-and-liquidity/HEAD/README.md -------------------------------------------------------------------------------- /img/mm_S.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/layoups/microstructure-and-liquidity/HEAD/img/mm_S.png -------------------------------------------------------------------------------- /img/mm_cash.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/layoups/microstructure-and-liquidity/HEAD/img/mm_cash.png -------------------------------------------------------------------------------- /img/mm_inventory.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/layoups/microstructure-and-liquidity/HEAD/img/mm_inventory.png -------------------------------------------------------------------------------- /img/mm_pnl.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/layoups/microstructure-and-liquidity/HEAD/img/mm_pnl.png -------------------------------------------------------------------------------- /img/mm_pnl_dist.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/layoups/microstructure-and-liquidity/HEAD/img/mm_pnl_dist.png -------------------------------------------------------------------------------- /img/opt_exec.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/layoups/microstructure-and-liquidity/HEAD/img/opt_exec.png -------------------------------------------------------------------------------- /report.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/layoups/microstructure-and-liquidity/HEAD/report.pdf -------------------------------------------------------------------------------- /src/environment.yml: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/layoups/microstructure-and-liquidity/HEAD/src/environment.yml -------------------------------------------------------------------------------- /src/theMarketMakingStrategy.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/layoups/microstructure-and-liquidity/HEAD/src/theMarketMakingStrategy.py -------------------------------------------------------------------------------- /src/theOptimalExecutionStrategy.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/layoups/microstructure-and-liquidity/HEAD/src/theOptimalExecutionStrategy.py -------------------------------------------------------------------------------- /src/theSetup.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/layoups/microstructure-and-liquidity/HEAD/src/theSetup.py --------------------------------------------------------------------------------