FinancialComputingUCL / DRL_for_Active_High_Frequency_Trading
We introduce the first end-to-end Deep Reinforcement Learning based framework for active high frequency trading.
☆66Updated 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
- 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.☆157Updated 11 months ago
- differential Sharpe ratio☆33Updated 5 years ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆108Updated 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…☆56Updated 2 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
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆119Updated 5 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆193Updated last year
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆54Updated 2 years ago
- ☆113Updated 7 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆75Updated last year
- Deep learning modelling of orderbooks☆95Updated 4 years ago
- Research Repo (Archive)☆73Updated 4 years ago
- Pair Trading Strategy using Machine Learning written in Python☆117Updated 2 years ago
- JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading☆120Updated last week
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆62Updated last year
- Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning☆140Updated 5 years ago
- Deep learning for limit order book trading and mid-price movement☆52Updated 4 years ago
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆62Updated 4 years ago
- Calibrates microprice model to BitMEX quote data☆56Updated 3 years ago
- LOBCAST is a Python-based open-source framework for stock market trend forecasting using Limit Order Book (LOB) data. 🤖📈☆97Updated 11 months ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆115Updated 2 years ago
- Notes on Advances in Financial Machine Learning☆79Updated 6 years ago
- ☆138Updated 2 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆28Updated 3 years ago
- Artificial-Intelligence-Big-Data-Lab / A-Multi-Layer-and-Multi-Ensembled-Stock-Trader-Using-Deep-Learning-and-Deep-Reinforcement-Learning☆60Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆80Updated 2 years ago
- Collection of indicators that I used in my strategies.☆53Updated last month
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆31Updated 3 years ago