FernandoDeMeer / RL_Optimal_Execution
☆22Updated 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
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆49Updated 3 years ago
- 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
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 7 years ago
- Implementation of AFML Book☆21Updated 5 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆26Updated 4 years ago
- Dynamic lead/lag inference for time series☆16Updated 6 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
- DATA-AIDED PAIRS TRADING VIA LEARNED KALMAN WITH BOLLINGER BANDS☆34Updated 2 years ago
- Necessary code to reproduce the experiment in "Mitigating Overfitting with Generative Adversarial Networks"☆37Updated 2 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…☆37Updated 3 months ago
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆34Updated 4 years ago
- Code to support my Master's thesis☆19Updated last year
- ☆20Updated 2 years ago
- Gerber robust statistics for portfolio optimization☆57Updated 2 years ago
- Random Forest-based "Correlation" measures☆15Updated 2 years ago
- ☆19Updated 4 years ago
- Event-driven Algorithmic Trading For Python☆25Updated 6 years ago
- ☆49Updated 4 years ago
- Exercises in 'Advances in Financial Machine Learning' by Lopez de Prado☆3Updated 2 years ago
- ☆16Updated 4 years ago
- A Deep Reinforcement Learning neural net for an original Multi-Dimensional Pairs Trading strategy is proposed☆21Updated 6 years ago
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆55Updated 2 years ago
- Some implementations from the paper robust risk aware reinforcement learning☆35Updated 3 years ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆17Updated last year
- a unified environment for supervised learning and reinforcement learning in the context of quantitative trading☆44Updated 3 years ago
- Pytorch implementation of DeepLOB-ATT and DeepLOB-Seq2Seq from Multi Horizon Forecasting for Limit Order Books☆11Updated 2 years ago
- Transformers for limit order books☆12Updated 3 years ago
- Codes for the paper Stock Trading Volume Prediction with Dual-Process Meta-Learning accepted by ECML PKDD 2022☆35Updated 2 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- High Frequency Jump Prediction Project☆36Updated 4 years ago