LianguangXue / VPINLinks
Vpin caculation and backtesting
☆14Updated 6 years ago
Alternatives and similar repositories for VPIN
Users that are interested in VPIN are comparing it to the libraries listed below
Sorting:
- Exploring Optimal Order Execution in Simulated Limit Order Books☆20Updated 2 years ago
- Modelling for price change forecast using High-frequency Trading limit order book dynamics using ML algorithms☆27Updated 7 years ago
- Phd repo☆17Updated 3 years ago
- High Frequency Jump Prediction Project☆39Updated 5 years ago
- Machine learning approach to high frequency trading, MLP & RNN used☆22Updated 9 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆24Updated 3 years ago
- Create a mid-price classifier for limit order books using a CNN and LSTM☆15Updated 5 years ago
- Market making strategies and scientific papers☆14Updated 2 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12Updated 4 years ago
- ☆25Updated 9 years ago
- ☆17Updated 3 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆29Updated 4 years ago
- Building a High Frequency Trading Engine with Neural Networks☆12Updated 7 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆30Updated 5 years ago
- ☆11Updated 7 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆35Updated 5 years ago
- High Frequency Trading Strategy☆12Updated 6 years ago
- ☆19Updated 5 years ago
- 2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)☆18Updated 5 years ago
- Advancing in Financial Machine Learning☆16Updated 5 years ago
- High Frequency Trading Strategies☆48Updated 8 years ago
- Channel break out strategy for High Frequency Trading.☆14Updated 7 years ago
- OpenAI Gym Environment for Low-Latency Trading☆18Updated 7 years ago
- verify OrderBook Tick Data Trading Strategy on futures.☆16Updated 6 years ago
- Limit Order Book Convolutional Neural Network trading bot☆14Updated 3 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆26Updated 5 years ago
- ☆19Updated 5 years ago
- Deep learning for price movement prediction using high frequency limit order data☆40Updated 7 years ago
- Financial time-series forecasting has long been a challenging problem because of the inherently noisy and stochastic nature of the market…☆16Updated 4 years ago