AchillesJJ / DSR
differential Sharpe ratio
☆31Updated 5 years ago
Related projects ⓘ
Alternatives and complementary repositories for DSR
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆51Updated last year
- This repository is for the demonstration of our work, "Market Making with Deep Reinforcement Learning from Limit Order Books"☆50Updated last year
- Source code for paper:Multi-agent reinforcement learning for liquidation strategy analysis☆53Updated 5 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆79Updated 3 years ago
- Deep Reinforcement Learning For Trading☆105Updated 9 months ago
- Using a modified version of Werner Duvaud's MuZero implementation (https://github.com/werner-duvaud/muzero-general) this reinforcement ag…☆17Updated 3 years ago
- Transformers for limit order books☆100Updated 4 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…☆28Updated 2 years ago
- Pair Trading Strategy using Machine Learning written in Python☆112Updated 2 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆49Updated 8 months ago
- Artificial-Intelligence-Big-Data-Lab / A-Multi-Layer-and-Multi-Ensembled-Stock-Trader-Using-Deep-Learning-and-Deep-Reinforcement-Learning☆51Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆76Updated last year
- Calibrates microprice model to BitMEX quote data☆54Updated 3 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…☆53Updated 5 years ago
- Robust Market Making via Adversarial Reinforcement Learning☆48Updated 4 years ago
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆48Updated last year
- JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading☆102Updated last week
- Deep Reinforcement Learning for Stock trading task☆18Updated 3 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆28Updated 3 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆106Updated 4 years ago
- ☆187Updated last year
- Deep Direct Recurrent Reinforcement Learning to learn trading system☆26Updated 6 years ago
- Deep learning modelling of orderbooks☆92Updated 4 years ago
- Limit Order Book data analysis and modeling using LSTM network☆127Updated 5 years ago
- We introduce the first end-to-end Deep Reinforcement Learning based framework for active high frequency trading.☆56Updated last year
- Automated FOREX trading using recurrent reinforcement learning☆32Updated last year
- This program trains an agent: StarTrader to trade like a human using a deep reinforcement learning algorithm: deep deterministic policy g…☆104Updated 5 years ago
- A financial trading method using machine learning.☆58Updated last year