├── .gitignore ├── CoeffCalc.py ├── README.md ├── Read_data.ipynb ├── data └── README.md ├── data_parse.py ├── dev └── README.md ├── docs └── README.md ├── figs ├── README.md ├── fig_10.png ├── fig_100.png ├── fig_20.png ├── fig_5.png ├── fig_50.png ├── imb_vs_imp_pred.png └── imb_vs_imp_pred_scaled.png ├── impact_vs_imbalance.ipynb ├── least_messy_code.ipynb ├── less_messy_code.ipynb ├── main1.py ├── messy_code.ipynb ├── optimize_test.ipynb └── top_order_book.py /.gitignore: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/minhdng/market_microstructure/HEAD/.gitignore -------------------------------------------------------------------------------- /CoeffCalc.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/minhdng/market_microstructure/HEAD/CoeffCalc.py -------------------------------------------------------------------------------- /README.md: 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