FinancialComputingUCL / LOBFrameLinks
We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.
☆189Updated last year
Alternatives and similar repositories for LOBFrame
Users that are interested in LOBFrame are comparing it to the libraries listed below
Sorting:
- Deep Learning Statistical Arbitrage☆240Updated 2 years ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆121Updated 2 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆175Updated last week
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆255Updated 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-…☆161Updated last year
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆217Updated 2 years ago
- ☆204Updated 2 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆124Updated 5 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆96Updated 8 months ago
- CS7641 Team project☆97Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- ☆74Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆88Updated 2 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆86Updated 4 years ago
- To classify trades into buyer- and seller-initiated.☆149Updated 2 years ago
- A collection of homeworks of market microstructure models.☆258Updated 7 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆82Updated last year
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆128Updated last year
- experiments with pair trading☆315Updated 9 months ago
- Implementation of the vanilla Deep Hedging engine☆285Updated 2 years ago
- ☆141Updated 2 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆161Updated 4 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆72Updated 5 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆89Updated 6 months ago
- Solutions for selected exercises from Advances in Financial Machine Learning by Marcos Lopez De Prado☆70Updated 3 years ago
- Financial AI with Python☆90Updated 5 months ago
- Notes on Advances in Financial Machine Learning☆80Updated 6 years ago
- trend / momentum and other patterns in financial timeseries☆276Updated 4 years ago
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - Técnico Li…☆169Updated 5 years ago
- Research Repo (Archive)☆75Updated 4 years ago