WANGXinyiLinda / Policy-Gradient-Trading-Algorithm-by-Maximizing-Sharpe-Ratio
The second half of my capstone project, proposing a deep policy gradient algorithm for auto-trading by directly maximizing the Sharpe ratio.
☆9Updated 5 years ago
Alternatives and similar repositories for Policy-Gradient-Trading-Algorithm-by-Maximizing-Sharpe-Ratio:
Users that are interested in Policy-Gradient-Trading-Algorithm-by-Maximizing-Sharpe-Ratio are comparing it to the libraries listed below
- ☆16Updated 4 years ago
- ☆49Updated 3 years ago
- differential Sharpe ratio☆33Updated 5 years ago
- A financial trading method using machine learning.☆60Updated 2 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- Using reinforcement learning to make markets in the high frequency trading setting.☆13Updated 9 months ago
- Examples of nautilus script☆32Updated 3 months ago
- Tensortrade project for reinforcement learning in futures market☆54Updated 4 years ago
- ☆13Updated 5 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆13Updated 3 years ago
- This repo contains my reimplementation and improvement of DeepLOB model.☆29Updated 3 years ago
- Collection of Models related to market making☆16Updated 4 years ago
- Using a modified version of Werner Duvaud's MuZero implementation (https://github.com/werner-duvaud/muzero-general) this reinforcement ag…☆17Updated 3 years ago
- Custom Loss functions for asset return prediction with deep learning regression☆34Updated 2 years ago
- A Deep Reinforcement Learning neural net for an original Multi-Dimensional Pairs Trading strategy is proposed☆21Updated 6 years ago
- Pytorch implementation of TransLOB from Transformer for limit order books☆24Updated last year
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆53Updated last year
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆41Updated last year
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆88Updated 4 years ago
- Implementation of AFML Book☆21Updated 5 years ago
- This was a university group project supported by the HSBC Artificial Intelligence team. It involved applying machine learning algorithms …☆14Updated last year
- Trend Prediction for High Frequency Trading☆39Updated 2 years ago
- Transformers for limit order books☆108Updated 4 years ago
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆33Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆79Updated 2 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 3 years ago
- Cryptocurrency Trading with Reinforcement Learning based on Backtrader☆38Updated 2 months ago
- Different trading strategies using technical analysis. Data: Ethereum/USD 5 minutes bars☆18Updated 3 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆61Updated last year
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆29Updated last year