BGasperov / drlformmLinks
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"
☆68Updated 2 years ago
Alternatives and similar repositories for drlformm
Users that are interested in drlformm are comparing it to the libraries listed below
Sorting:
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆90Updated 4 years ago
- This repository is for the demonstration of our work, "Market Making with Deep Reinforcement Learning from Limit Order Books"☆71Updated 2 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆56Updated 2 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- Literature survey of order execution strategies implemented in python☆44Updated 5 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆94Updated 2 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆86Updated last year
- This is for the capstone project "Optimal Execution of a VWAP order".☆36Updated 6 years ago
- We introduce the first end-to-end Deep Reinforcement Learning based framework for active high frequency trading.☆78Updated 2 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆125Updated 5 years ago
- High Frequency Trading Strategies☆48Updated 8 years ago
- Cryptocurrency Trading with Reinforcement Learning based on Backtrader☆46Updated 11 months 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
- High Frequency Jump Prediction Project☆38Updated 5 years ago
- Deep learning modelling of orderbooks☆101Updated 5 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 learning for limit order book trading and mid-price movement☆55Updated 5 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
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆36Updated last year
- Our codebase trials provide an implementation of the Select and Trade paper, which proposes a new paradigm for pair trading using hierar…☆130Updated 2 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆31Updated 4 years ago
- Deep Q-Learning for Market Making☆127Updated 7 years ago
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …