JJJerome / rl4mmLinks
A repository for simulating limit order book dynamics from historical data and using it to train a reinforcement learning agent to make markets.
☆31Updated 2 years ago
Alternatives and similar repositories for rl4mm
Users that are interested in rl4mm are comparing it to the libraries listed below
Sorting:
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆64Updated 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
- Robust Market Making via Adversarial Reinforcement Learning☆52Updated 5 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆52Updated 2 years ago
- JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading☆130Updated this week
- Calibrates microprice model to BitMEX quote data☆60Updated 4 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆26Updated 5 years ago
- Some codes used for the numerical examples proposed in https://hal.archives-ouvertes.fr/hal-01514987v2 and https://arxiv.org/abs/1705.014…☆23Updated 6 years ago
- This repository is for the demonstration of our work, "Market Making with Deep Reinforcement Learning from Limit Order Books"☆66Updated 2 years ago
- differential Sharpe ratio☆34Updated 6 years ago
- ☆20Updated 2 years ago
- Custom Loss functions for asset return prediction with deep learning regression☆35Updated 2 years ago
- apolanco3225 / Deep-Reinforcement-Learning-for-Optimal-Execution-of-Portfolio-Transactions-using-DDPGPerforming a trading strategy using deep deterministic policy gradients to know when to buy, hold or sell stocks in a virtual environment…☆58Updated 6 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆86Updated 4 years ago
- Source code for paper:Multi-agent reinforcement learning for liquidation strategy analysis☆58Updated 6 years ago
- Multi-Agent eXchange simulator developed at Oxford-Man Institute☆63Updated 5 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- ☆52Updated 4 years ago
- [Likelihood Lab Project 2024] Official Repository for The Technical Report, Label Unbalance in High-frequency Trading☆24Updated 6 months ago
- a unified environment for supervised learning and reinforcement learning in the context of quantitative trading☆45Updated 4 years ago
- Code to support my Master's thesis☆20Updated 2 years ago
- 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
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆82Updated last year
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆50Updated 3 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆95Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆89Updated 2 years ago
- Deep learning for limit order book trading and mid-price movement☆55Updated 4 years ago
- Deep Reinforcement Learning for Portfolio Optimization☆128Updated 5 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆35Updated 5 years ago
- Models and programs developed as part of XTX Forecastin Challenge 2019☆26Updated 2 years ago