# -*- coding: utf-8 -*-
"""
Created on Thu Oct 12 16:40:52 2017
@author: Marco Dibo
"High-frequency trading in a limit order book"
by Marco Avellaneda and Sasha Stoikov"
"""
## Montecarlo simulation with numpy ##
import math
import numpy as np
import matplotlib.pyplot as plt
import random
#Parameters for mid price simulation:
S0 = 100. #initial price
T = 1.0 #time
sigma = 2 #volatility
M = 200 #number of time steps
dt = T/M #time step
Sim = 1000 #number of simulations
gamma = 0.1 #risk aversion
k = 1.5
A = 140
I = 1
#Results:
AverageSpread = []
Profit = []
Std = []
for i in range(1, Sim+1):
###reservation price:
### r(s,t) = s - q * gamma * sigma**2 * (T-t)
S = np.zeros((M+1,I))
Bid = np.zeros((M+1,I))
Ask = np.zeros((M+1,I))
ReservPrice = np.zeros((M+1,I))
spread = np.zeros((M+1,I))
deltaB = np.zeros((M+1,I))
deltaA = np.zeros((M+1,I))
q = np.zeros((M+1,I))
w = np.zeros((M+1,I))
equity = np.zeros((M+1,I))
reserve_relation =</
高频交易AS模型
于 2022-03-06 09:41:16 首次发布