FernandoDeMeer / RL_Optimal_Execution
☆23Updated 2 years ago
Alternatives and similar repositories for RL_Optimal_Execution:
Users that are interested in RL_Optimal_Execution are comparing it to the libraries listed below
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆27Updated 4 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆49Updated 3 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆26Updated 4 years ago
- Implementation of AFML Book☆21Updated 5 years ago
- ☆19Updated 4 years ago
- ☆27Updated 2 years ago
- Transformers for limit order books☆11Updated 3 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆13Updated 3 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 7 years ago
- Dynamic lead/lag inference for time series☆15Updated 5 years ago
- ☆47Updated 3 years ago
- Necessary code to reproduce the experiment in "Mitigating Overfitting with Generative Adversarial Networks"☆37Updated last year
- Exercises in 'Advances in Financial Machine Learning' by Lopez de Prado☆3Updated last year
- Deep Q-Learning Auto Market Maker☆12Updated 3 years ago
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆54Updated last year
- XTX Forecasting Challenge https://challenge.xtxmarkets.com/☆9Updated 5 years ago
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆32Updated last month
- Some codes used for the numerical examples proposed in https://hal.archives-ouvertes.fr/hal-01514987v2 and https://arxiv.org/abs/1705.014…☆21Updated 5 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆16Updated 2 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆39Updated last year
- Some implementations from the paper robust risk aware reinforcement learning☆35Updated 3 years ago
- Custom Loss functions for asset return prediction with deep learning regression☆34Updated 2 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆55Updated last year
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- Python code for Bayesian Conditional Cointegration☆17Updated 7 years ago
- Code to support my Master's thesis☆18Updated last year
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆34Updated 4 years ago
- Basic Limit Order Book functions☆21Updated 6 years ago
- ☆16Updated 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…☆29Updated 2 years ago