Jackmzw / Price_Prediction_LOBLinks
Deep learning for price movement prediction using high frequency limit order data
☆40Updated 6 years ago
Alternatives and similar repositories for Price_Prediction_LOB
Users that are interested in Price_Prediction_LOB are comparing it to the libraries listed below
Sorting:
- High Frequency Trading☆109Updated 7 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆31Updated 4 years ago
- OpenAI Gym Environment for Low-Latency Trading☆18Updated 7 years ago
- Trend Prediction for High Frequency Trading☆42Updated 2 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆70Updated 9 years ago
- Example of order book modeling.☆57Updated 6 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆29Updated 3 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆65Updated 2 years ago
- Models and programs developed as part of XTX Forecastin Challenge 2019☆26Updated 2 years ago
- Deep learning modelling of orderbooks☆95Updated 4 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆35Updated 4 years ago
- Robust Market Making via Adversarial Reinforcement Learning☆51Updated 5 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆49Updated 5 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 4 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆103Updated 6 years ago
- ☆114Updated 7 years ago
- High Frequency Jump Prediction Project☆37Updated 5 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆66Updated last year
- High Frequency Trading Strategies☆46Updated 7 years ago
- Deep learning for limit order book trading and mid-price movement☆53Updated 4 years ago
- Pair Trading Strategy using Machine Learning written in Python☆119Updated 3 years ago
- Particle swarm optimization (PSO) in algorithmic trading example using Backtrader backtesting framework.☆19Updated 5 years ago
- 2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)☆17Updated 5 years ago
- Deep Direct Recurrent Reinforcement Learning to learn trading system☆26Updated 7 years ago
- Quantopian Pairs Trading algorithm implementation.☆63Updated 7 years ago
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆34Updated 4 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
- Volume-Synchronized Probability of Informed Trading☆113Updated 11 years ago