The code used for estimating the optimal market-making strategy on a limit order book with two limits on each side. See AlgoTrading for more details.
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Some codes used for the numerical examples proposed in https://hal.archives-ouvertes.fr/hal-01514987v2 and https://arxiv.org/abs/1705.01446
comeh/LOB_AlgoTrading
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Some codes used for the numerical examples proposed in https://hal.archives-ouvertes.fr/hal-01514987v2 and https://arxiv.org/abs/1705.01446
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