Implementation of Avellaneda-Stoikov market making model
My implementation of the seminal work by Avellaneda-Stoikov (2008)
Several References that helped me along the way
Instructions
pip install -r requirements.txt
python avellaneda_stoikov_model.py
Results
Symmetric Strategy
Inventory Strategy
Some notes
Some of the paper assumptions are:
- Volatility is constant
- Order book statistical nature is constant
Depending on the markets, for example crypto, the assumptions might not hold. Hummingbot seems to have made some extensions to these assumptions and more, might be worth checking out