LeonardoBerti00 / Multi-Horizon-Forecasting-for-Limit-Order-BooksLinks
Pytorch implementation of DeepLOB-ATT and DeepLOB-Seq2Seq from Multi Horizon Forecasting for Limit Order Books
☆13Updated 2 years ago
Alternatives and similar repositories for Multi-Horizon-Forecasting-for-Limit-Order-Books
Users that are interested in Multi-Horizon-Forecasting-for-Limit-Order-Books 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 last year
- Pytorch implementation of deep learning models for financial time series forecasting using LOB☆18Updated 2 years ago
- Code to support my Master's thesis☆21Updated 2 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆24Updated 3 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆14Updated 2 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆19Updated 2 years ago
- [Likelihood Lab Project 2024] Official Repository for The Technical Report, Label Unbalance in High-frequency Trading☆26Updated 7 months ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12Updated 4 years ago
- Market making strategies and scientific papers☆14Updated 2 years ago
- Stock Broad-Index Trend Patterns Learning via Domain Knowledge Informed Generative Network☆15Updated 8 months ago
- A machine learning pipeline that ingest and process a 20-year historical stock price dataset and try to predict future prices using Light…☆14Updated 4 years ago
- Time-Series Momentum Strategies☆12Updated 7 years ago
- Pytorch implementation of TransLOB from Transformer for limit order books☆28Updated 2 years ago
- High Frequency Jump Prediction Project☆39Updated 5 years ago
- We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cos…☆10Updated 5 years ago
- Deep learning models for high-frequency financial data (limited order book)☆19Updated 6 years ago
- Modelling the implicit volatility, using multi-factor statistical models.☆21Updated 6 months ago
- Blaze☆16Updated 4 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆16Updated 2 years ago
- Limit Orderbook CNN model implementation for ETH-BTC (buy-low-sell-high indicator)☆17Updated 2 years ago
- ☆31Updated 3 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆28Updated 4 years ago
- ☆19Updated 8 years ago
- This repo contains my reimplementation and improvement of DeepLOB model.☆32Updated 4 years ago
- DATA-AIDED PAIRS TRADING VIA LEARNED KALMAN WITH BOLLINGER BANDS☆35Updated 3 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆54Updated 2 years ago
- ☆17Updated 6 months ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆29Updated last year
- Codes for the paper Stock Trading Volume Prediction with Dual-Process Meta-Learning accepted by ECML PKDD 2022☆35Updated 3 years ago
- ☆19Updated 5 years ago