Reproducible Research Project

Runan Zhang & Jakub Wnęk, 2024

The Goal To The Project

The goal of this repository is to replicate the market making trading strategy proposed in the paper "High-frequency trading in a limit order book" by Marco Avellaneda and Sasha Stoikov on a random walk stock price model. We aim to understand the behavior of stock prices in a high-frequency trading environment and validate our simulation model against the results provided in the paper.

Set Up for Environment and Packages:

Packages used:

• python >= 3.9.6
• numpy >= 1.26.2
• matplotlib >= 3.8.2
• ipython >= 8.23.0
• pandas >= 2.2.1

One can use included requirements.txt file to recreate the environment ('pip install -r requirements.txt').

Please Run The "Presentation.ipynb" To See Our Results