YichiZhang-Oxford / ClusterLOBLinks
☆17Updated 6 months ago
Alternatives and similar repositories for ClusterLOB
Users that are interested in ClusterLOB are comparing it to the libraries listed below
Sorting:
- Pytorch implementation of deep learning models for financial time series forecasting using LOB☆19Updated 2 years ago
- Code to support my Master's thesis☆21Updated 2 years ago
- 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
- Implementation of the paper <Model-based Reinforcement Learning for Predictions and Control for Limit Order Books (Wei et al., J.P. Morga…☆12Updated 2 years ago
- Pytorch implementation of DeepLOB-ATT and DeepLOB-Seq2Seq from Multi Horizon Forecasting for Limit Order Books☆13Updated 2 years ago
- DeepLOB Implementation on Bitcoin Perpetual Data☆26Updated 2 years ago
- Pytorch implementation of TransLOB from Transformer for limit order books☆28Updated 2 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆28Updated 4 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆14Updated 2 years ago
- This repo contains my reimplementation and improvement of DeepLOB model.☆32Updated 4 years ago
- ☆19Updated 8 years ago
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆58Updated 2 years ago
- ☆22Updated last year
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆49Updated 10 months ago
- ☆21Updated last year
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆54Updated 2 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆16Updated 4 years ago
- Deep learning models for high-frequency financial data (limited order book)☆19Updated 6 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- Multi Task Learning Time Series Momentum☆24Updated last year
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆36Updated 5 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- This repository is for the code of paper "Automated Cryptocurrency Trading Approach Using Ensemble Deep Reinforcement Learning: Learn to …☆19Updated last year
- Market making strategies and scientific papers☆14Updated 2 years ago
- ☆24Updated 5 years ago
- Quant finance scripts☆16Updated 7 months ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆89Updated 4 years ago
- A Deep Reinforcement Learning neural net for an original Multi-Dimensional Pairs Trading strategy is proposed☆21Updated 6 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆35Updated 5 years ago
- Article on using deep learning to extract order flow information from the limit order book and forecast directional moves☆18Updated 2 years ago