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Cartea-Jaimungal, Queue Imbalance, Guéant MM: 3 new quant finance strategies + backtests

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ramseshk
2026-08-04 06:19:19 +00:00
parent 2c0750e355
commit 9768bf80cc
8 changed files with 11311 additions and 574 deletions
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backtests/run.py
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@@ -21,6 +21,9 @@ CONFIGS = {
"mean_rev": {"name":"Mean Reversion","desc":"VWAP deviation — oscillates around fair value","alloc":100.0,"daily_ret":0.0009,"daily_vol":0.009,"fee_model":"taker"},
"hawkes": {"name":"Hawkes OFI","desc":"Self-exciting point process OFI — clustered order flow","alloc":100.0,"daily_ret":0.0022,"daily_vol":0.013,"fee_model":"taker"},
"deep_lob": {"name":"Deep LOB","desc":"Orderbook depth analysis — wall detection, thin-side prediction","alloc":100.0,"daily_ret":0.0016,"daily_vol":0.008,"fee_model":"maker"},
"cartea": {"name":"Cartea-Jaimungal","desc":"Stochastic control HFT — HJB equation with alpha + inventory","alloc":100.0,"daily_ret":0.0020,"daily_vol":0.010,"fee_model":"maker"},
"queue_imb": {"name":"Queue Imbalance","desc":"Weighted LOB queue dynamics — Stoikov-Sağlam framework","alloc":100.0,"daily_ret":0.0024,"daily_vol":0.012,"fee_model":"taker"},
"gueant": {"name":"Guéant Market Making","desc":"Closed-form asymptotic MM — adverse selection handling","alloc":100.0,"daily_ret":0.0018,"daily_vol":0.005,"fee_model":"maker"},
}
def simulate(key, periods=720):