S-razmi / DeepLOB
DeepLOB Implementation on Bitcoin Perpetual Data
☆9Updated last year
Related projects ⓘ
Alternatives and complementary repositories for DeepLOB
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆78Updated 3 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆61Updated 8 months ago
- factor performance visualization☆22Updated 5 months ago
- Pytorch implementation of TransLOB from Transformer for limit order books☆18Updated last year
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆43Updated 4 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆96Updated last year
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆56Updated last year
- Literature survey of order execution strategies implemented in python☆37Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆75Updated last year
- TorchQuantum is a backtesting framework that integrates the structure of PyTorch and WorldQuant's Operator for efficient quantitative fin…☆33Updated last year
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆47Updated last year
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆26Updated 7 months ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆28Updated 3 years ago
- High Frequency Trading Strategies☆41Updated 7 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.☆118Updated 5 months ago
- Calibrates microprice model to BitMEX quote data☆54Updated 3 years ago
- This repo contains my reimplementation and improvement of DeepLOB model.☆26Updated 3 years ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆90Updated last year
- High Frequency Trading strategies.☆25Updated 10 months ago
- A new formulaic alpha mining framework for quantitative investment☆79Updated 2 months ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆49Updated 8 months ago
- The book <Advanced Algorithmic Trading> and its source code☆55Updated 6 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆37Updated last year
- alpha投研示例☆57Updated 4 months ago
- A model simulation shows how pairs trading could be used for two S&P500 traded stocks. It proofs that the strategy is successful on real…☆21Updated 4 years ago
- ☆24Updated last year
- Repository for market making ideas☆37Updated 6 months ago
- This repository is for the demonstration of our work, "Market Making with Deep Reinforcement Learning from Limit Order Books"☆47Updated last year
- Backtest result archive for Momentum Trading Strategies☆46Updated 5 years ago