This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting originally proposed by Zhang et al. (https://arxiv.org/pdf/1808.03668.pdf). The current implementation was adopted in the paper written by Briola et al. (https://arxiv.org/pdf/2007.07319.pdf).
☆38Oct 18, 2020Updated 5 years ago
Alternatives and similar repositories for CNN-LSTM_Limit_Order_Book
Users that are interested in CNN-LSTM_Limit_Order_Book are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Pytorch implementation of DeepLOB-ATT and DeepLOB-Seq2Seq from Multi Horizon Forecasting for Limit Order Books☆14Feb 4, 2023Updated 3 years ago
- ☆209Mar 29, 2023Updated 2 years ago
- Limit Orderbook CNN model implementation for ETH-BTC (buy-low-sell-high indicator)☆17Mar 20, 2023Updated 3 years ago
- Deep learning models for high-frequency financial data (limited order book)☆19Apr 2, 2019Updated 6 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆90Mar 12, 2021Updated 5 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting with the flexibility to host WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Cloudways by DigitalOcean.
- ☆13Mar 31, 2019Updated 6 years ago
- Limit Order Book data analysis and modeling using LSTM network☆137Mar 27, 2019Updated 7 years ago
- This repo contains my reimplementation and improvement of DeepLOB model.☆32Apr 22, 2021Updated 4 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆38Jun 20, 2021Updated 4 years ago
- Deep learning modelling of orderbooks☆101Oct 8, 2020Updated 5 years ago
- This jupyter notebook is used to demonstrate our recent work, "DeepLOB: Deep Convolutional Neural Networks for Limit Order Books", publis…☆552Jul 15, 2021Updated 4 years ago
- High-frequency trading in a limit order book☆59Apr 15, 2019Updated 6 years ago
- Transformers for limit order books☆121Aug 9, 2020Updated 5 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆24Dec 12, 2021Updated 4 years ago
- Wordpress hosting with auto-scaling on Cloudways • AdFully Managed hosting built for WordPress-powered businesses that need reliable, auto-scalable hosting. Cloudways SafeUpdates now available.
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆28Apr 5, 2021Updated 4 years ago
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆60Apr 6, 2023Updated 2 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12May 30, 2021Updated 4 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆19Dec 8, 2022Updated 3 years ago
- Processing and performing financial calculations on HFT data☆10Dec 19, 2018Updated 7 years ago
- Deep learning for limit order book trading and mid-price movement☆55Oct 20, 2020Updated 5 years ago
- Transformers for limit order books☆13Jul 25, 2021Updated 4 years ago
- Deep Q-Learning Auto Market Maker☆12Jun 12, 2021Updated 4 years ago
- In the high-frequency era of trading, orders of stocks can be executed under a millsecond. The information about the thousands of orders …☆10Mar 30, 2016Updated 9 years ago
- End-to-end encrypted cloud storage - Proton Drive • AdSpecial offer: 40% Off Yearly / 80% Off First Month. Protect your most important files, photos, and documents from prying eyes.
- stock trading by Deep Q-Learning (Deep Q Network)☆13Feb 6, 2017Updated 9 years ago
- Bitmex orderbooks saving + (neural) trading signal generator + backtesting etc.☆34Dec 27, 2022Updated 3 years ago
- orderbooks contain so much more organic informations than moving averages...☆19Mar 14, 2026Updated last week
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆148Dec 11, 2022Updated 3 years ago
- ☆19May 17, 2020Updated 5 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆15Jul 17, 2023Updated 2 years ago
- Codes for the paper 'Clustering Approaches for Global Minimum Variance Portfolio'☆22Jul 13, 2022Updated 3 years ago
- Implemented One Shot Face Recognition Using Siamese Neural Network using Pytorch on AT&T dataset☆13Jan 31, 2020Updated 6 years ago
- Pytorch implementation of deep learning models for financial time series forecasting using LOB☆21May 25, 2023Updated 2 years ago
- Virtual machines for every use case on DigitalOcean • AdGet dependable uptime with 99.99% SLA, simple security tools, and predictable monthly pricing with DigitalOcean's virtual machines, called Droplets.
- Binance Tick Data Collector☆36Aug 19, 2021Updated 4 years ago
- Building a High Frequency Trading Engine with Neural Networks☆12Apr 2, 2018Updated 7 years ago
- Python implementation of fast limit-order book.☆320Oct 26, 2017Updated 8 years ago
- Create a mid-price classifier for limit order books using a CNN and LSTM☆15Apr 24, 2020Updated 5 years ago
- An example and description to Reinforcement Learning DQN model and dataformats for trading☆16Mar 30, 2019Updated 6 years ago
- Financial time-series forecasting has long been a challenging problem because of the inherently noisy and stochastic nature of the market…☆16Aug 30, 2021Updated 4 years ago
- high-frequency grid trading strategy backtesting for binance futures☆25Oct 13, 2022Updated 3 years ago