Jackmzw / Price_Prediction_LOB
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
- Trend Prediction for High Frequency Trading☆40Updated 2 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆35Updated 3 years ago
- Example of order book modeling.☆56Updated 5 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 4 years ago
- AS model performance versus trivial delta for market-makers☆18Updated 3 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- OpenAI Gym Environment for Low-Latency Trading☆18Updated 6 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆28Updated 3 years ago
- ☆49Updated 4 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆47Updated 5 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆60Updated 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…☆13Updated 3 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆80Updated 2 years ago
- Deep Q-Learning for Market Making☆122Updated 6 years ago
- High-frequency trading in a limit order book☆58Updated 6 years ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆67Updated 8 years ago
- High Frequency Trading Strategies☆44Updated 7 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- Robust Market Making via Adversarial Reinforcement Learning☆51Updated 5 years ago
- Deep learning modelling of orderbooks☆95Updated 4 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆102Updated 6 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Models and programs developed as part of XTX Forecastin Challenge 2019☆26Updated last year
- High Frequency Trading☆107Updated 6 years ago
- algo trading backtesting on BitMEX☆76Updated last year
- Event-driven backtest/realtime quantitative trading system.☆74Updated 3 years ago
- 2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)☆17Updated 5 years ago
- High Frequency Jump Prediction Project☆36Updated 4 years ago
- Volume-Synchronized Probability of Informed Trading☆111Updated 11 years ago