imTurkey / Market-Making-with-Deep-Reinforcement-Learning-from-Limit-Order-BooksLinks
This repository is for the demonstration of our work, "Market Making with Deep Reinforcement Learning from Limit Order Books"
☆62Updated 2 years ago
Alternatives and similar repositories for Market-Making-with-Deep-Reinforcement-Learning-from-Limit-Order-Books
Users that are interested in Market-Making-with-Deep-Reinforcement-Learning-from-Limit-Order-Books are comparing it to the libraries listed below
Sorting:
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆83Updated 4 years ago
- Our codebase trials provide an implementation of the Select and Trade paper, which proposes a new paradigm for pair trading using hierar…☆129Updated last year
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆202Updated 2 years ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆116Updated 2 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆47Updated last year
- ☆122Updated 11 months ago
- ☆201Updated 2 years ago
- We introduce the first end-to-end Deep Reinforcement Learning based framework for active high frequency trading.☆71Updated last year
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆63Updated 2 years ago
- LOBCAST is a Python-based open-source framework for stock market trend forecasting using Limit Order Book (LOB) data. 🤖📈☆102Updated last year
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆167Updated last year
- ☆102Updated 6 months ago
- Limit Order Book data analysis and modeling using LSTM network☆137Updated 6 years ago
- mbt_gym is a module which provides a suite of gym environments for training reinforcement learning (RL) agents to solve model-based high-…☆156Updated last year
- Notes on Advances in Financial Machine Learning☆80Updated 6 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆122Updated 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
- High-frequency statistical arbitrage☆199Updated last year
- Cryptocurrency Trading with Reinforcement Learning based on Backtrader☆43Updated 6 months ago
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆230Updated 3 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆126Updated 2 years ago
- CS7641 Team project☆96Updated 4 years ago
- Solutions for selected exercises from Advances in Financial Machine Learning by Marcos Lopez De Prado☆63Updated 2 years ago
- JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading☆125Updated this week
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆58Updated 2 years ago
- Transformers for limit order books☆114Updated 4 years ago
- Literature survey of order execution strategies implemented in python☆44Updated 4 years ago
- ☆114Updated 7 years ago
- Deep learning modelling of orderbooks☆95Updated 4 years ago
- High Frequency Analysis Based On Level-2 Data（Limit Order Book& Transaction Data)☆105Updated last year