2 Repositories
Python microstructure Libraries
Scalable implementation of Lee / Mykland (2012) and Ait-Sahalia / Jacod (2012) Jump tests for noisy high frequency data
JumpDetectR Name of QuantLet : JumpDetectR Published in : 'To be published as "Jump dynamics in high frequency crypto markets"' Description : 'Scala
12 Jan 1, 2023
Providing the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Tick Data.
Modeling High-Frequency Limit Order Book Dynamics Using Machine Learning Framework to capture the dynamics of high-frequency limit order books. Overvi
1.3k Jan 7, 2023