hkgsas / LOBLinks
Benchmark Dataset of Limit Order Book in China Markets
☆210Updated 4 years ago
Alternatives and similar repositories for LOB
Users that are interested in LOB are comparing it to the libraries listed below
Sorting:
- Mining technical factors based on symbolic regression via genetic algorithm☆188Updated 2 years ago
- ☆110Updated 5 years ago
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆233Updated 3 years ago
- Provide risk forecasts by Barra China Equity Model☆167Updated 7 years ago
- Barra Multifactor Model☆146Updated 5 years ago
- ☆198Updated 5 years ago
- 基于万矿平台,对alpha101因子进行测试并构造多因子策略☆92Updated 6 years ago
- 本文通过gplearn模型,结合遗传算法中的遗传规划方法生成因子。这里因子生成基于simple-backtest中的简单回测系统,主要针对股指期货操作。☆130Updated last year
- Recurrent Neural Network for predicting Stock Returns☆123Updated 4 years ago
- Barra-Multiple-factor-risk-model☆143Updated 8 years ago
- Barra CNE6 因子构建☆311Updated 5 years ago
- 101 alpha factors calculate based on Alpha101☆135Updated 6 years ago
- ☆146Updated 4 months ago
- Official implementation for AAAI2025: AlphaForge: A Framework to Mine and Dynamically Combine Formulaic Alpha Factors☆269Updated 11 months ago
- High Frequency Analysis Based On Level-2 Data(Limit Order Book& Transaction Data)☆109Updated last year
- A risk evaluation program that follows BARRA's CNE6 and USE4 risk model to predict the risk and distribution of factors in a portfolio. C…☆67Updated 4 years ago
- codegen from expression to others, such as polars, pandas☆132Updated 2 weeks ago
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆63Updated 4 years ago
- 升级后的gplearn, 支持包含时序和截面参数的自定义函数,例如均线☆61Updated last year
- 改进gplearn,主要使用在股票公式挖掘☆97Updated 5 years ago
- 沪深300指数增强模型☆86Updated 5 years ago
- stock☆91Updated 4 years ago
- High frequency factors based on order and trade data.☆59Updated last year
- ☆185Updated last year
- 对GPLearn完成了三维改造,并且增加了IC,IR,RankIC等指标,增加了样本内样本外的数据保存,增加了基于IC追踪所有generation中符合要求的因子并保存的功能。☆147Updated 2 years ago
- 多因子指数增强策略/多因子全流程实现☆338Updated last year
- Stock factor mining with CNN and GRU.☆64Updated 2 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆65Updated 7 years ago
- alpha投研示例☆79Updated last month
- ☆174Updated 2 years ago