shaileshkakkar Goto Github PK
Name: shailesh kakkar
Type: User
Bio: Quantitative Researcher with background in Mathematics and Computer Science.
Location: Chicago, IL
Name: shailesh kakkar
Type: User
Bio: Quantitative Researcher with background in Mathematics and Computer Science.
Location: Chicago, IL
This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in the paper for US equities BAC and CVX, I am using the data for the Crypto pair ETHBTC. The data was pulled by me from Binance by subscribing to three different streams - Market Trades, Partial Depth and Orderbook Snapshot. Then these were combined to form the order-book and analysis done on the same.
Order Imbalance Strategy in High Frequency Trading
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