LeonardoBerti00 / TLOBLinks
This is the official repository for the paper TLOB: A Novel Transformer Model with Dual Attention for Stock Price Trend Prediction with Limit Order Book Data.
☆66Updated 2 months ago
Alternatives and similar repositories for TLOB
Users that are interested in TLOB are comparing it to the libraries listed below
Sorting:
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆122Updated 5 years ago
- LOBCAST is a Python-based open-source framework for stock market trend forecasting using Limit Order Book (LOB) data. 🤖📈☆102Updated last year
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆83Updated 4 years ago
- ☆201Updated 2 years ago
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆58Updated 2 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆80Updated last year
- ☆31Updated last year
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆167Updated last year
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆47Updated last year
- ☆122Updated 11 months ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆116Updated 2 years ago
- Transformers for limit order books☆114Updated 4 years ago
- TorchQuantum is a backtesting framework that integrates the structure of PyTorch and WorldQuant's Operator for efficient quantitative fin…☆45Updated 2 years ago
- A study on volume-price factor stock selection model based on wavelet transform and multitask self-attention network☆80Updated 2 months ago
- Literature survey of order execution strategies implemented in python☆44Updated 4 years ago
- A deep reinforcement learning framework for generating formulaic alpha factors for quantitative investment, powered by GFlowNet, implemen…☆60Updated last month
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆250Updated 2 years ago
- ☆51Updated 4 years ago
- ☆36Updated 2 years ago
- ☆102Updated 6 months ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆84Updated 2 years ago
- This repository is for the demonstration of our work, "Market Making with Deep Reinforcement Learning from Limit Order Books"☆62Updated 2 years ago
- StockFormer: A Swing Trading Strategy Based on STL Decomposition and Self-Attention Networks☆114Updated last year
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆63Updated 2 years ago
- To classify trades into buyer- and seller-initiated.☆145Updated 2 years ago
- alpha投研示例☆76Updated last week
- Cryptocurrency Trading with Reinforcement Learning based on Backtrader☆43Updated 6 months ago
- High Frequency Analysis Based On Level-2 Data（Limit Order Book& Transaction Data)☆106Updated last year
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆64Updated 4 years ago
- We introduce the first end-to-end Deep Reinforcement Learning based framework for active high frequency trading.☆71Updated last year