ajcutuli / OFI_NN_ProjectLinks
Article on using deep learning to extract order flow information from the limit order book and forecast directional moves
☆15Updated 2 years ago
Alternatives and similar repositories for OFI_NN_Project
Users that are interested in OFI_NN_Project are comparing it to the libraries listed below
Sorting:
- DeepLOB Implementation on Bitcoin Perpetual Data☆22Updated 2 years ago
- This repo contains my reimplementation and improvement of DeepLOB model.☆30Updated 4 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆13Updated 2 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆30Updated 4 years ago
- Code to support my Master's thesis☆20Updated 2 years ago
- Implementation of the paper <Model-based Reinforcement Learning for Predictions and Control for Limit Order Books (Wei et al., J.P. Morga…☆11Updated 2 years ago
- ☆15Updated 4 months ago
- A project of building and running a trading system according to service oriented architecture standard.☆17Updated 7 years ago
- ☆41Updated 4 years ago
- ☆19Updated 8 years ago
- ☆15Updated 2 years ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆38Updated 2 years ago
- ☆21Updated 3 years ago
- ☆23Updated 5 years ago
- Codes for the paper Stock Trading Volume Prediction with Dual-Process Meta-Learning accepted by ECML PKDD 2022☆35Updated 3 years ago
- Deep learning for limit order book trading and mid-price movement☆55Updated 4 years ago
- ☆42Updated 2 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆23Updated 3 years ago
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆49Updated 8 months ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆52Updated 2 years ago
- Portfolio optimization with cvxopt☆40Updated 7 months ago
- DATA-AIDED PAIRS TRADING VIA LEARNED KALMAN WITH BOLLINGER BANDS☆35Updated 2 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆67Updated 3 months ago
- Pytorch implementation of TransLOB from Transformer for limit order books☆26Updated 2 years ago
- Testing trading signals of commodity futures☆17Updated 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…☆15Updated 4 years ago
- Time-Series Momentum Strategies☆12Updated 7 years ago
- ☆24Updated 5 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
- Exploring Optimal Order Execution in Simulated Limit Order Books☆20Updated 2 years ago