AchillesJJ / DSRLinks
differential Sharpe ratio
☆36Updated 6 years ago
Alternatives and similar repositories for DSR
Users that are interested in DSR are comparing it to the libraries listed below
Sorting:
- mbt_gym is a module which provides a suite of gym environments for training reinforcement learning (RL) agents to solve model-based high-…☆167Updated 2 years ago
- We introduce the first end-to-end Deep Reinforcement Learning based framework for active high frequency trading.☆79Updated 2 years ago
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆67Updated 2 years ago
- JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading☆135Updated this week
- Source code for paper:Multi-agent reinforcement learning for liquidation strategy analysis☆58Updated 6 years ago
- Deep Reinforcement Learning For Trading☆108Updated last year
- Deep learning modelling of orderbooks☆102Updated 5 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆90Updated 4 years ago
- apolanco3225 / Deep-Reinforcement-Learning-for-Optimal-Execution-of-Portfolio-Transactions-using-DDPGPerforming a trading strategy using deep deterministic policy gradients to know when to buy, hold or sell stocks in a virtual environment…☆58Updated 6 years ago
- A repository for simulating limit order book dynamics from historical data and using it to train a reinforcement learning agent to make m…☆32Updated 3 years ago
- This repository is for the demonstration of our work, "Market Making with Deep Reinforcement Learning from Limit Order Books"☆73Updated 2 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆59Updated 2 years ago
- Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning☆146Updated 6 years ago
- ☆207Updated 2 years ago
- ☆20Updated 2 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆70Updated last year
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆126Updated 5 years ago
- An OpenAI gym environment for futures trading☆32Updated 5 years ago
- Robust Market Making via Adversarial Reinforcement Learning☆53Updated 5 years ago
- ☆50Updated 5 years ago
- A custom MARL (multi-agent reinforcement learning) environment where multiple agents trade against one another (self-play) in a zero-sum …☆154Updated last week
- Artificial-Intelligence-Big-Data-Lab / A-Multi-Layer-and-Multi-Ensembled-Stock-Trader-Using-Deep-Learning-and-Deep-Reinforcement-Learning☆57Updated 5 years ago
- Transformers for limit order books☆121Updated 5 years ago
- Implementation of Reinforcement Learning in Pair Trading☆11Updated 6 months ago
- Using a modified version of Werner Duvaud's MuZero implementation (https://github.com/werner-duvaud/muzero-general) this reinforcement ag…☆18Updated 4 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Updated 5 years ago
- Pairs Trading with Machine Learning on Distributed Python Platform☆125Updated 3 years ago
- ☆154Updated 5 years ago
- Limit Order Book data analysis and modeling using LSTM network☆137Updated 6 years ago
- Trading multiple stocks using custom gym environment and custom neural network with StableBaselines3.☆53Updated 2 years ago