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:
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆28Updated 5 years ago
- a unified environment for supervised learning and reinforcement learning in the context of quantitative trading☆45Updated 4 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆23Updated 3 years ago
- Robust Market Making via Adversarial Reinforcement Learning☆51Updated 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
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆21Updated 6 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 4 years ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆37Updated last year
- Exploring Optimal Order Execution in Simulated Limit Order Books☆18Updated 2 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆14Updated 3 years ago
- Deep learning for limit order book trading and mid-price movement☆53Updated 4 years ago
- A Deep Reinforcement Learning neural net for an original Multi-Dimensional Pairs Trading strategy is proposed☆21Updated 6 years ago
- ☆10Updated 2 years ago
- ☆19Updated 4 years ago
- DATA-AIDED PAIRS TRADING VIA LEARNED KALMAN WITH BOLLINGER BANDS☆35Updated 2 years ago
- A Deep Reinforcement Learning model for high volume and frequency Forex Portfolio Management☆11Updated 2 years ago
- Some implementations from the paper robust risk aware reinforcement learning☆35Updated 3 years ago
- High Frequency Jump Prediction Project☆37Updated 5 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- ☆22Updated 2 years ago
- Exercises in 'Advances in Financial Machine Learning' by Lopez de Prado☆3Updated 2 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
- Advancing in Financial Machine Learning☆16Updated 5 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
- ☆11Updated 4 years ago
- High frequency trading algorithm for Bitmex☆23Updated 5 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆66Updated last year
- Custom Loss functions for asset return prediction with deep learning regression☆34Updated 2 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆24Updated 7 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…☆45Updated 5 months ago