Geofffff / OptimalExecutionLinks
Code for optimal execution
☆12Updated 4 years ago
Alternatives and similar repositories for OptimalExecution
Users that are interested in OptimalExecution are comparing it to the libraries listed below
Sorting:
- differential Sharpe ratio☆33Updated 6 years ago
- Jiahao Li, Yong Zhang, Xingyu Yang, and Liangwei Chen. "Online portfolio management via deep reinforcement learning with high-frequency d…☆24Updated 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…☆63Updated 2 years ago
- ☆13Updated 11 months ago
- Deep direct reinforcement learning for financial signal representation and trading☆30Updated 5 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…☆32Updated 2 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆53Updated 2 years ago
- LeonardoBerti00 / Data-Normalization-for-Bilinear-Structures-in-High-Frequency-Financial-Time-series-BiN-TABLPytorch implementation of BIN-TABL from Data Normalization for Bilinear Structures in HF Financial Time-series☆12Updated last year
- Code to support my Master's thesis☆21Updated 2 years ago
- Alpha mining with DEAP-based genetic programming.☆11Updated 2 years ago
- Deep Direct Recurrent Reinforcement Learning to learn trading system☆26Updated 7 years ago
- A paper replication project for Time-driven feature-aware jointly deep reinforcement learning☆11Updated 4 years ago
- Temporal Attention-Augmented Bilinear Network for Financial Time-Series Data Analysis☆36Updated 6 years ago
- ☆16Updated 3 years ago
- We introduce the first end-to-end Deep Reinforcement Learning based framework for active high frequency trading.☆75Updated last year
- Blaze☆15Updated 4 years ago
- ☆15Updated 4 years ago
- Reinforcement Learning framework to make synthetic experiments in the financial domain☆23Updated 2 years ago
- Deep Reinforcement Learning for Stock trading task☆21Updated 4 years ago
- ☆32Updated 5 years ago
- Relation-Aware Transformer for Portfolio Policy Learning using Binance provider☆25Updated 4 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆26Updated 7 years ago
- 2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)☆18Updated 5 years ago
- JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading☆130Updated this week
- Optimistic Bull or Pessimistic Bear: Adaptive Deep Reinforcement Learning for Stock Portfolio Allocation☆36Updated 6 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆20Updated 2 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆86Updated 4 years ago
- ☆22Updated 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…☆49Updated 8 months ago
- Artificial-Intelligence-Big-Data-Lab / A-Multi-Layer-and-Multi-Ensembled-Stock-Trader-Using-Deep-Learning-and-Deep-Reinforcement-Learning☆59Updated 5 years ago