In this repository, we build an ensemble agent-based microsimulation of financial market limit order books which is inspired from extensions to the original Santa Fe model. The simulator is described in more detail in the LOB_simulation.ipynb notebook. Additionally, for more of a mathematical exposition, you can read this post: umbralcalc.github.io/posts/lobsim.html.
-
Notifications
You must be signed in to change notification settings - Fork 1
Financial market limit order book microsimulation using an ensemble agent-based approach inspired by extensions to the original Santa Fe model
License
umbralcalc/lobsim
This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository.
Folders and files
| Name | Name | Last commit message | Last commit date | |
|---|---|---|---|---|
Repository files navigation
About
Financial market limit order book microsimulation using an ensemble agent-based approach inspired by extensions to the original Santa Fe model
Resources
License
Stars
Watchers
Forks
Releases
No releases published
Packages 0
No packages published