Time Series Prediction of Volume in LOB
☆61Apr 17, 2024Updated 2 years ago
Alternatives and similar repositories for Volume-Forecasting
Users that are interested in Volume-Forecasting are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Exploring Optimal Order Execution in Simulated Limit Order Books☆19Dec 8, 2022Updated 3 years ago
- Collection of numerical methods for high frequency data, in Python notebooks☆13Mar 10, 2021Updated 5 years ago
- Option Strategy for Futures☆20Jul 29, 2020Updated 6 years ago
- Hedge long only portfolio using structural entropy☆16Jul 27, 2022Updated 4 years ago
- ☆216Mar 29, 2023Updated 3 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- ☆24Jan 26, 2020Updated 6 years ago
- JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading☆148Mar 16, 2026Updated 7 months ago
- Based on paper Learning Embedded Representation of the Stock Correlation Matrix using Graph Machine Learning☆13Dec 24, 2022Updated 3 years ago
- Vectorized quantile backtesting library☆15May 25, 2023Updated 3 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆66Sep 4, 2023Updated 3 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆31Apr 30, 2020Updated 6 years ago
- A collection of homeworks of market microstructure models.☆304Sep 26, 2026Updated last month
- Quant finance scripts☆15Apr 13, 2025Updated last year
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆13May 30, 2021Updated 5 years ago
- GPU virtual machines on DigitalOcean Gradient AI • AdGet to production fast with high-performance AMD and NVIDIA GPUs you can spin up in seconds. The definition of operational simplicity.
- High frequency prediction of Chinese stock returns. Orderbook data generation. High frequency factors construction.☆19Mar 10, 2023Updated 3 years ago
- Combines alpha signals using a random forest, and demonstrates solutions to overlapping labels issue (rolling autocorrelation) proposed b…☆10Sep 3, 2026Updated 2 months ago
- Backtesting the thesis paper entitled: Trading volatility Trading strategies based on the VIX term structure☆33Dec 20, 2022Updated 3 years ago
- This project is to explore high-frequency model and strategy. You will expect high-frequency features mining, ml/dl models, and hf tradin…☆22May 19, 2021Updated 5 years ago
- Mid price estimation in LOB using Markov model☆13May 11, 2022Updated 4 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆24Dec 12, 2021Updated 4 years ago
- Q-quant和因子投资实证汇总☆24Jul 5, 2021Updated 5 years ago
- ☆21Nov 4, 2022Updated 3 years ago
- Trading instruments for large timeseries☆11Dec 12, 2022Updated 3 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- Use machine learning to trade bitcoin.☆10Jun 10, 2021Updated 5 years ago
- MarketGPT: Developing a Pre-trained transformer (GPT) for Modeling Financial Time Series☆19Sep 5, 2025Updated last year
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆14Dec 11, 2022Updated 3 years ago
- ☆69Apr 10, 2021Updated 5 years ago
- We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cos…☆11Apr 8, 2020Updated 6 years ago
- Pytorch implementation of TransLOB from Transformer for limit order books☆31May 25, 2023Updated 3 years ago
- ☆12Sep 11, 2023Updated 3 years ago
- To classify trades into buyer- and seller-initiated.☆168Dec 14, 2022Updated 3 years ago
- A research project to study the gamma exposure of market-makers in Bitcoin option markets.☆18Sep 12, 2020Updated 6 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- High Frequency Analysis Based On Level-2 Data（Limit Order Book& Transaction Data)☆125May 20, 2024Updated 2 years ago
- ☆10Mar 28, 2022Updated 4 years ago
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆280Apr 12, 2022Updated 4 years ago
- Order Book and Trade Book, Realized Volatility, Random Forest☆13Oct 23, 2023Updated 3 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆17Dec 26, 2022Updated 3 years ago
- This repository demonstrates application of unsupervised learning in the financial markets. K-Means clustering is employed to create a di…☆13May 4, 2022Updated 4 years ago
- Hawkes with Latency☆20Jan 16, 2021Updated 5 years ago