ghostlee / avellaneda-stoikov-ragoragino

Replication of study Avellaneda, Marco, and Sasha Stoikov: High-frequency trading in a limit order book. Quantitative Finance 8.3 (2008): 217-224.

avellaneda-stoikov

This is a code replicating study Avellaneda, Marco, and Sasha Stoikov: High-frequency trading in a limit order book. Quantitative Finance 8.3 (2008): 217-224.

Our results for 1000 simulations with \gamma = 0.1 give:

Strateg	Profit	Std (Profit)	Final q	Std (Final q)
Inventory	65.0	6.3	0.043	3.2
Symmetric	69.0	13.7	0.04	8.4

The original results were:

Strategy	Profit	Std (Profit)	Final q	Std (Final q)
Inventory	65.0	6.6	0.08	2.9
Symmetric	68.4	12.7	0.26	8.4

Plots of mid-price and optimal bid and ask quotes and also of final P&L are attached, as in the original study.