Globe-Research / deep-orderbookLinks
Deep learning modelling of orderbooks
☆95Updated 4 years ago
Alternatives and similar repositories for deep-orderbook
Users that are interested in deep-orderbook are comparing it to the libraries listed below
Sorting:
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆51Updated 3 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆83Updated 4 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆92Updated 4 years ago
- algo trading backtesting on BitMEX☆78Updated last year
- Limit Order Book data analysis and modeling using LSTM network☆136Updated 6 years ago
- ☆50Updated 4 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- Transformers for limit order books☆114Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆81Updated 2 years ago
- ☆138Updated 2 years ago
- Order Imbalance Strategy in High Frequency Trading☆133Updated 7 years ago
- ☆114Updated 7 years ago
- Calibrates microprice model to BitMEX quote data☆56Updated 3 years ago
- Pair Trading Strategy using Machine Learning written in Python☆119Updated 3 years ago
- This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in…☆69Updated 7 years ago
- High-frequency trading in a limit order book☆59Updated 6 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆102Updated 6 years ago
- Volume-Synchronized Probability of Informed Trading☆113Updated 11 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆91Updated 10 months ago
- Example of order book modeling.☆56Updated 6 years ago
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆163Updated 5 years ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆114Updated 2 years ago
- Notebooks based on financial machine learning.☆50Updated 5 years ago
- Probability of Backtest Overfitting in Python☆126Updated 2 years ago
- ☆200Updated 2 years ago
- Deep learning for price movement prediction using high frequency limit order data☆40Updated 6 years ago
- Notes on Advances in Financial Machine Learning☆79Updated 6 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆35Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 6 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆64Updated last year