bakalex / autohedgerLinks
Paper: https://arxiv.org/pdf/2008.12275.pdf
☆26Updated 4 years ago
Alternatives and similar repositories for autohedger
Users that are interested in autohedger are comparing it to the libraries listed below
Sorting:
- Robust Market Making via Adversarial Reinforcement Learning☆52Updated 5 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆30Updated 5 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆23Updated 3 years ago
- a unified environment for supervised learning and reinforcement learning in the context of quantitative trading☆45Updated 4 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆30Updated 4 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆19Updated 2 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆16Updated 7 years ago
- Vpin caculation and backtesting☆14Updated 6 years ago
- 2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)☆17Updated 5 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆50Updated 3 years ago
- Create a mid-price classifier for limit order books using a CNN and LSTM☆14Updated 5 years ago
- High Frequency Jump Prediction Project☆37Updated 5 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆21Updated 6 years ago
- A Deep Reinforcement Learning neural net for an original Multi-Dimensional Pairs Trading strategy is proposed☆21Updated 6 years ago
- ☆19Updated 5 years ago
- A Deep Learning Framework for Neural Derivative Hedging☆30Updated 3 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆34Updated 5 years ago
- Deep learning for limit order book trading and mid-price movement☆55Updated 4 years ago
- This repo contains my reimplementation and improvement of DeepLOB model.☆30Updated 4 years ago
- High frequency trading algorithm for Bitmex☆23Updated 5 years ago
- ☆16Updated 3 years ago
- ☆19Updated 4 years ago
- Building a High Frequency Trading Engine with Neural Networks☆12Updated 7 years ago
- A repository for simulating limit order book dynamics from historical data and using it to train a reinforcement learning agent to make m…☆31Updated 2 years ago
- Official Repository for The Technical Report, Label Unbalance in High-frequency Trading☆22Updated 5 months ago
- Time-Series Momentum Strategies☆12Updated 7 years ago
- Advancing in Financial Machine Learning☆16Updated 5 years ago
- ☆11Updated 4 years ago
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆34Updated 4 years ago