actuarialsnail / blsh-lob-bot
Limit Orderbook CNN model implementation for ETH-BTC (buy-low-sell-high indicator)
☆17Updated last year
Alternatives and similar repositories for blsh-lob-bot:
Users that are interested in blsh-lob-bot are comparing it to the libraries listed below
- Market making strategies and scientific papers☆13Updated last year
- ☆15Updated 2 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 3 years ago
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆32Updated 4 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- Collection of Models related to market making☆16Updated 4 years ago
- My first high-frequency trading strategy using machine learning☆16Updated 2 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆27Updated 3 years ago
- A low frequency statistical arbitrage strategy☆19Updated 5 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆12Updated 2 years ago
- AS model performance versus trivial delta for market-makers☆18Updated 3 years ago
- Mean Reversion Trading Strategy☆20Updated 3 years ago
- ☆29Updated 3 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆21Updated 3 years ago
- ☆17Updated 4 years ago
- This is the final project of Statistical Arbitrage course and it aims to apply pairs trading in high frequency data to realize auto-tradi…☆18Updated 6 years ago
- High Frequency Trading Strategies☆41Updated 7 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆10Updated 2 years ago
- An automatic high frequency trading bot for cryptocurrencies☆21Updated 4 years ago
- Implementing a medium freq trading strategy by estimating price impact via order flow.☆14Updated 4 years ago
- A financial trading method using machine learning.☆58Updated last year
- Modelling for price change forecast using High-frequency Trading limit order book dynamics using ML algorithms☆25Updated 6 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆58Updated 11 months ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆16Updated 2 years ago
- ☆21Updated 5 years ago
- Substantial backtesting of statistical arbitrage pairs trading with crypto-currencies☆22Updated 4 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆30Updated 3 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 5 years ago
- Study of price volume data to analyze an order imbalance strategy for Bitcoin on BitMEX platform☆11Updated 6 years ago