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
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆26Updated 4 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆41Updated last year
- 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
- 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
- Custom Loss functions for asset return prediction with deep learning regression☆34Updated 2 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆16Updated 2 years ago
- Exercises in 'Advances in Financial Machine Learning' by Lopez de Prado☆3Updated last year
- A Deep Reinforcement Learning neural net for an original Multi-Dimensional Pairs Trading strategy is proposed☆21Updated 6 years ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆15Updated last year
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆34Updated 2 months ago
- ☆49Updated 3 years ago
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆18Updated 6 years ago
- Advancing in Financial Machine Learning☆16Updated 5 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆49Updated 3 years ago
- Code to support my Master's thesis☆19Updated last year
- Robust Market Making via Adversarial Reinforcement Learning☆51Updated 4 years ago
- ☆19Updated 4 years ago
- Stock Broad-Index Trend Patterns Learning via Domain Knowledge Informed Generative Network☆14Updated last month
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 7 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 6 months ago
- Necessary code to reproduce the experiment in "Mitigating Overfitting with Generative Adversarial Networks"☆37Updated 2 years ago
- Dynamic lead/lag inference for time series☆16Updated 6 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 3 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…☆30Updated 2 years ago
- Gerber robust statistics for portfolio optimization☆57Updated 2 years ago
- Pytorch implementation of DeepLOB-ATT and DeepLOB-Seq2Seq from Multi Horizon Forecasting for Limit Order Books☆11Updated 2 years ago
- Labels calculation&visualisation - comes with a small BTC/USDT database. Part of my research. Integral part of: https://arxiv.org/abs/201…☆24Updated 2 years ago
- Using a modified version of Werner Duvaud's MuZero implementation (https://github.com/werner-duvaud/muzero-general) this reinforcement ag…☆17Updated 3 years ago
- MarketGPT: Developing a Pre-trained transformer (GPT) for Modeling Financial Time Series☆12Updated 3 months ago
- High Frequency Jump Prediction Project☆35Updated 4 years ago