FinancialComputingUCL / DRL_for_Active_High_Frequency_TradingLinks
We introduce the first end-to-end Deep Reinforcement Learning based framework for active high frequency trading.
☆69Updated last year
Alternatives and similar repositories for DRL_for_Active_High_Frequency_Trading
Users that are interested in DRL_for_Active_High_Frequency_Trading are comparing it to the libraries listed below
Sorting:
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆83Updated 4 years ago
- This repository is for the demonstration of our work, "Market Making with Deep Reinforcement Learning from Limit Order Books"☆61Updated 2 years ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆165Updated last year
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆114Updated 2 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆196Updated last year
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆119Updated 5 years ago
- differential Sharpe ratio☆34Updated 5 years ago
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆57Updated 2 years ago
- ☆32Updated 4 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-…☆157Updated last year
- ☆200Updated 2 years ago
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆62Updated 2 years ago
- Deep learning modelling of orderbooks☆95Updated 4 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆64Updated last year
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆47Updated last year
- Calibrates microprice model to BitMEX quote data☆56Updated 3 years ago
- Notes on Advances in Financial Machine Learning☆79Updated 6 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆81Updated 2 years ago
- Notebooks based on financial machine learning.☆50Updated 5 years ago
- ☆38Updated 3 years ago
- Pair Trading Strategy using Machine Learning written in Python☆119Updated 3 years ago
- Trading multiple stocks using custom gym environment and custom neural network with StableBaselines3.☆53Updated 2 years ago
- CS7641 Team project☆95Updated 4 years ago
- JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading☆124Updated last week
- ☆114Updated 7 years ago
- LOBCAST is a Python-based open-source framework for stock market trend forecasting using Limit Order Book (LOB) data. 🤖📈☆102Updated last year
- Implementation of HFT backtesting simulator and Stoikov strategy☆123Updated 2 years ago
- Research Repo (Archive)☆73Updated 4 years ago
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆64Updated 4 years ago
- Cryptocurrency Trading with Reinforcement Learning based on Backtrader☆43Updated 5 months ago