Globe-Research / deep-orderbook
Deep learning modelling of orderbooks
☆92Updated 4 years ago
Related projects ⓘ
Alternatives and complementary repositories for deep-orderbook
- Limit Order Book data analysis and modeling using LSTM network☆127Updated 5 years ago
- ☆106Updated 6 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆79Updated 3 years ago
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆149Updated 5 years ago
- ☆187Updated last year
- ☆135Updated last year
- Deep learning for limit order book trading and mid-price movement☆50Updated 4 years ago
- High-frequency trading in a limit order book☆55Updated 5 years ago
- ☆46Updated 3 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆76Updated last year
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆99Updated 5 years ago
- Notes on Advances in Financial Machine Learning☆76Updated 5 years ago
- Transformers for limit order books☆100Updated 4 years ago
- Pair Trading Strategy using Machine Learning written in Python☆112Updated 2 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…☆67Updated 6 years ago
- algo trading backtesting on BitMEX☆75Updated 11 months ago
- Calibrates microprice model to BitMEX quote data☆54Updated 3 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆79Updated 3 months ago
- Deep Q-Learning for Market Making☆118Updated 6 years ago
- This repository is for the demonstration of our work, "Market Making with Deep Reinforcement Learning from Limit Order Books"☆50Updated last year
- Limit Order Book Implemented in Python☆91Updated 6 years ago
- Example of order book modeling.☆57Updated 5 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆167Updated last year
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆81Updated 3 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆47Updated 3 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆134Updated 4 years ago
- Estimation of the lead-lag parameter from non-synchronous data.☆114Updated 6 months ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆59Updated 4 years ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆91Updated last year