Jeonghwan-Cheon / lob-deep-learningLinks
Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio (Sangadiev et al., 2020), etc.
☆137Updated 3 years ago
Alternatives and similar repositories for lob-deep-learning
Users that are interested in lob-deep-learning are comparing it to the libraries listed below
Sorting:
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆90Updated 4 years ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆211Updated last year
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆233Updated 2 years ago
- ☆208Updated 2 years ago
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆246Updated 3 years ago
- This repository is for the demonstration of our work, "Market Making with Deep Reinforcement Learning from Limit Order Books"☆71Updated 2 years ago
- Limit Order Book data analysis and modeling using LSTM network☆137Updated 6 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆125Updated 5 years ago
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆66Updated 5 years ago
- LOBCAST is a Python-based open-source framework for stock market trend forecasting using Limit Order Book (LOB) data. 🤖📈☆115Updated last year
- We introduce the first end-to-end Deep Reinforcement Learning based framework for active high frequency trading.☆78Updated 2 years ago
- ☆123Updated 8 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆86Updated last year
- High-frequency statistical arbitrage☆238Updated 2 years ago
- TorchQuantum is a backtesting framework that integrates the structure of PyTorch and WorldQuant's Operator for efficient quantitative fin…☆50Updated 2 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆141Updated 2 years ago
- Literature survey of order execution strategies implemented in python☆44Updated 5 years ago
- Notes on Advances in Financial Machine Learning☆82Updated 7 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆56Updated 2 years ago
- Deep learning modelling of orderbooks☆101Updated 5 years ago
- High Frequency Analysis Based On Level-2 Data（Limit Order Book& Transaction Data)☆113Updated last year
- CS7641 Team project☆97Updated 5 years ago
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆68Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆94Updated 2 years ago
- ☆53Updated 4 years ago
- Order Imbalance Strategy in High Frequency Trading☆139Updated 7 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-…☆166Updated last year
- Calibrates microprice model to BitMEX quote data☆61Updated 4 years ago
- Transformers for limit order books☆120Updated 5 years ago
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆59Updated 2 years ago