Jeonghwan-Cheon / lob-world-modelsLinks
Implementation of the paper <Model-based Reinforcement Learning for Predictions and Control for Limit Order Books (Wei et al., J.P. Morgan AI Research, 2019)>.
☆11Updated last year
Alternatives and similar repositories for lob-world-models
Users that are interested in lob-world-models are comparing it to the libraries listed below
Sorting:
- LeonardoBerti00 / Data-Normalization-for-Bilinear-Structures-in-High-Frequency-Financial-Time-series-BiN-TABLPytorch implementation of BIN-TABL from Data Normalization for Bilinear Structures in HF Financial Time-series☆12Updated 11 months ago
- Code to support my Master's thesis☆20Updated last year
- We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cos…☆11Updated 5 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆29Updated 5 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆23Updated 3 years ago
- DATA-AIDED PAIRS TRADING VIA LEARNED KALMAN WITH BOLLINGER BANDS☆35Updated 2 years ago
- Codes for the paper Stock Trading Volume Prediction with Dual-Process Meta-Learning accepted by ECML PKDD 2022☆35Updated 3 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆19Updated 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…☆47Updated 6 months ago
- A project of building and running a trading system according to service oriented architecture standard.☆16Updated 7 years ago
- This repo contains my reimplementation and improvement of DeepLOB model.☆30Updated 4 years ago
- ☆11Updated 4 years ago
- Stock Broad-Index Trend Patterns Learning via Domain Knowledge Informed Generative Network☆15Updated 5 months ago
- ☆19Updated 5 years ago
- High Frequency Jump Prediction Project☆37Updated 5 years ago
- Quant finance scripts☆16Updated 3 months ago
- Implementation of code snippets and exercises in the book Machine Learning for Asset Managers written by Prof. Marcos López de Prado.☆16Updated 4 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆34Updated 2 years ago
- Article on using deep learning to extract order flow information from the limit order book and forecast directional moves☆13Updated 2 years ago
- Project completed during my studies at BGSE together with Travis Dunlop, Matthew Keys and Jordi Llorens☆17Updated 6 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 10 months ago
- Pytorch implementation of DeepLOB-ATT and DeepLOB-Seq2Seq from Multi Horizon Forecasting for Limit Order Books☆12Updated 2 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- Time-Series Momentum Strategies☆12Updated 7 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆14Updated 3 years ago
- ☆14Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆51Updated 2 years ago
- High-performing deep learning trader on a multithreaded financial exchange simulation.☆19Updated 2 months ago
- A Deep Learning Framework for Neural Derivative Hedging☆30Updated 3 years ago