This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limit Order Book Model"
☆71Mar 19, 2023Updated 3 years ago
Alternatives and similar repositories for drlformm
Users that are interested in drlformm are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Deep Q-Learning for Market Making☆130Jun 12, 2018Updated 8 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆49Apr 9, 2020Updated 6 years ago
- Algorithmic trading with Deep Learning☆36Mar 14, 2020Updated 6 years ago
- Adaptation of Monte Carlo and SARSA algorithms (Reinforcement Learning) for learning the policy of sellers/ buyers in stock market☆12Jul 23, 2018Updated 8 years ago
- Simulator of a basic order book flow and order execution☆18Mar 22, 2023Updated 3 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Ornstein-Uhlenbeck process simulators and estimators☆32Oct 19, 2021Updated 4 years ago
- 两家交易所做比特币的高频对冲☆18Dec 5, 2019Updated 6 years ago
- Implementation of algorithmic trading using reinforcement learning.☆30Jun 28, 2020Updated 6 years ago
- Pytorch implementation of DeepLOB-ATT and DeepLOB-Seq2Seq from Multi Horizon Forecasting for Limit Order Books☆14Feb 4, 2023Updated 3 years ago
- An algorithmic trading robot written in Python.☆27Jun 4, 2017Updated 9 years ago
- Literature survey of order execution strategies implemented in python☆46Jul 24, 2020Updated 6 years ago
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆18Nov 10, 2023Updated 2 years ago
- Calibrates microprice model to BitMEX quote data☆65Jul 1, 2021Updated 5 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆42Nov 21, 2019Updated 6 years ago
- Proton VPN Special Offer - Get 70% off • AdSpecial partner offer. Trusted by over 100 million users worldwide. Tested, Approved and Recommended by Experts.
- The book <Advanced Algorithmic Trading> and its source code☆63Jan 5, 2018Updated 8 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆24Dec 12, 2021Updated 4 years ago
- Limit Orderbook CNN model implementation for ETH-BTC (buy-low-sell-high indicator)☆17Mar 20, 2023Updated 3 years ago
- High frequency trading algorithm for Bitmex☆22Jun 22, 2020Updated 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…☆34Nov 18, 2022Updated 3 years ago
- ☆69Apr 10, 2021Updated 5 years ago
- ☆42Aug 29, 2022Updated 3 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆24Jun 24, 2022Updated 4 years ago
- This repository is for the demonstration of our work, "Market Making with Deep Reinforcement Learning from Limit Order Books"☆75Apr 18, 2023Updated 3 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆276Apr 12, 2022Updated 4 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆31Aug 29, 2020Updated 5 years ago
- High Frequency Jump Prediction Project☆38Jun 1, 2020Updated 6 years ago
- 接入okcoin的数字货币行情，并在众安交易所做市☆23Nov 6, 2017Updated 8 years ago
- Deep Q-Learning Auto Market Maker☆12Jun 12, 2021Updated 5 years ago
- High Frequency Trading Strategies☆49Aug 14, 2017Updated 8 years ago
- Derive order flow from Tick and Trade data.☆34Aug 13, 2021Updated 4 years ago
- Limit Orderbook Replay/Analysis Library☆10Nov 19, 2018Updated 7 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆255Jun 29, 2023Updated 3 years ago
- 1-Click AI Models by DigitalOcean Gradient • AdDeploy popular AI models on DigitalOcean Gradient GPU virtual machines with just a single click. Zero configuration with optimized deployments.
- This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in…☆77Jun 3, 2018Updated 8 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆86Jan 27, 2018Updated 8 years ago
- Code for optimal execution☆12Oct 29, 2020Updated 5 years ago
- mbt_gym is a module which provides a suite of gym environments for training reinforcement learning (RL) agents to solve model-based high-…☆177Jan 8, 2024Updated 2 years ago
- Research project on applying deep reinforcement learning to perform financial market predictions. A competitive market maker.☆13Dec 8, 2022Updated 3 years ago
- ☆19Jun 13, 2022Updated 4 years ago
- Code for IJCAI 2021 main conference paper "Long-term, Short-term and Sudden Event: Trading Volume Movement Prediction with Graph-based M…☆22Dec 24, 2021Updated 4 years ago