Code package to analyze high-frequency trading (HFT) races using financial-exchange message data, following Aquilina, Budish and O'Neill (2021).
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Updated
Nov 14, 2021 - Python
Code package to analyze high-frequency trading (HFT) races using financial-exchange message data, following Aquilina, Budish and O'Neill (2021).
HAMLET: Hierarchical Agent-based Markets for Local Energy Trading
Implementation of the Gale-Shapley (also known as deferred acceptance) and Top Trading Cycle (TTC) algorithms for 2-sided matching
Simulate the RSD (Random Serial Dictatorships) algorithm.
The works are mostly based on Irving's paper An Efficient Algorithm for the “Stable Roommates” Problem (1985)
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