Git053 / Limit-Orderbook
Limit Order Book for high-frequency trading (HFT) strategies using data science approaches
☆19Updated 2 years ago
Related projects ⓘ
Alternatives and complementary repositories for Limit-Orderbook
- Backtesting a simple Buy Low Sell High Strategy☆9Updated 2 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆15Updated last year
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆11Updated last year
- Market making strategies and scientific papers☆12Updated last year
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 3 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆26Updated 4 years ago
- ☆15Updated 2 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆12Updated 3 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12Updated 3 years ago
- Building a High Frequency Trading Engine with Neural Networks☆12Updated 6 years ago
- We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cos…☆10Updated 4 years ago
- Intraday momentum strategy that buys (sells) leveraged ETFs late in the trading session following a significant intraday gain (loss) and …☆24Updated 6 months ago
- A low frequency statistical arbitrage strategy☆18Updated 5 years ago
- Limit Orderbook CNN model implementation for ETH-BTC (buy-low-sell-high indicator)☆17Updated last year
- Collection of Models related to market making☆14Updated 3 years ago
- ☆18Updated 4 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆12Updated last year
- Phd repo☆16Updated 2 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
- Financial time-series forecasting has long been a challenging problem because of the inherently noisy and stochastic nature of the market…☆15Updated 3 years ago
- experiments with crypto trading☆16Updated 3 months ago
- In this work an application of the Triple-Barrier Method and Meta-Labeling techniques is explored with XGBoost for the creation of a sent…☆19Updated 8 months ago
- A Deep Reinforcement Learning model for high volume and frequency Forex Portfolio Management☆11Updated last year
- ☆15Updated 4 years ago
- Repo for HFT project in CMF☆26Updated last year
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆18Updated 5 years ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆35Updated last year
- Collection of numerical methods for high frequency data, in Python notebooks☆13Updated 3 years ago
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆30Updated 4 years ago