Code to support my Master's thesis
☆22Sep 10, 2023Updated 2 years ago
Alternatives and similar repositories for Masters-Project
Users that are interested in Masters-Project are comparing it to the libraries listed below
Sorting:
- Pytorch implementation of DeepLOB-ATT and DeepLOB-Seq2Seq from Multi Horizon Forecasting for Limit Order Books☆14Feb 4, 2023Updated 3 years ago
- Pytorch implementation of TransLOB from Transformer for limit order books☆29May 25, 2023Updated 2 years ago
- Accepted at WWW 25 Industrial Track (oral)☆18Jun 6, 2025Updated 9 months ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆60Sep 4, 2023Updated 2 years ago
- Pytorch implementation of deep learning models for financial time series forecasting using LOB☆21May 25, 2023Updated 2 years ago
- Some codes used for the numerical examples proposed in https://hal.archives-ouvertes.fr/hal-01514987v2 and https://arxiv.org/abs/1705.014…☆23May 3, 2019Updated 6 years ago
- Code for optimal execution☆12Oct 29, 2020Updated 5 years ago
- ☆25May 1, 2025Updated 10 months ago
- Stock Broad-Index Trend Patterns Learning via Domain Knowledge Informed Generative Network☆15Feb 25, 2025Updated last year
- ☆22Aug 10, 2022Updated 3 years ago
- Volume Weighted Average Price Optimal Execution☆42Mar 12, 2019Updated 7 years ago
- Deep direct reinforcement learning for financial signal representation and trading☆32Oct 7, 2020Updated 5 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆39Nov 21, 2019Updated 6 years ago
- This repository is for the code of paper "Automated Cryptocurrency Trading Approach Using Ensemble Deep Reinforcement Learning: Learn to …☆20Sep 24, 2024Updated last year
- Transformers for limit order books☆13Jul 25, 2021Updated 4 years ago
- A machine learning pipeline that ingest and process a 20-year historical stock price dataset and try to predict future prices using Light…☆16Nov 20, 2020Updated 5 years ago
- MarketGPT: Developing a Pre-trained transformer (GPT) for Modeling Financial Time Series☆17Sep 5, 2025Updated 6 months 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 5 years ago
- Pytorch implementation of BIN-TABL from Data Normalization for Bilinear Structures in HF Financial Time-series☆14Aug 12, 2024Updated last year
- Pairs Trading using Unsupervised Clustering and Deep Reinforcement Learning☆11Aug 19, 2023Updated 2 years ago
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆17May 9, 2024Updated last year
- A HFT Market Simulation utilizing high-speed, efficient C++ and concurrent/parallel programming☆18Nov 3, 2023Updated 2 years ago
- ☆35Jan 1, 2025Updated last year
- ☆11Mar 25, 2023Updated 2 years ago
- ☆70Feb 27, 2024Updated 2 years ago
- Our codebase trials provide an implementation of the Select and Trade paper, which proposes a new paradigm for pair trading using hierar…☆131Aug 31, 2023Updated 2 years ago
- Orderbook matching engine with order management and market data API☆15Oct 13, 2021Updated 4 years ago
- Apply different deep learning models to limit order book.☆12Mar 6, 2018Updated 8 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.☆223May 31, 2024Updated last year
- The Interactive Frontend Built for Aioquant.☆13May 11, 2022Updated 3 years ago
- ☆33May 20, 2024Updated last year
- A Data Science pipeline for Algorithmic Trading: A comparative study in applications to Finance and cryptoeconomics☆14Jul 1, 2022Updated 3 years ago
- Implementation of the paper <Model-based Reinforcement Learning for Predictions and Control for Limit Order Books (Wei et al., J.P. Morga…☆11Aug 22, 2023Updated 2 years ago
- Multi Task Learning Time Series Momentum☆25May 18, 2024Updated last year
- OCET, torch, transformers, DeepLOB,limit-order-books☆10Dec 6, 2022Updated 3 years ago
- ☆139Jul 19, 2024Updated 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
- Benchmark Dataset of Limit Order Book in China Markets☆216Mar 23, 2021Updated 4 years ago
- ☆21Jun 17, 2025Updated 9 months ago