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"
☆70Updated 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.☆90Updated 4 years ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆135Updated 2 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆232Updated 2 years ago
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆67Updated 2 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆55Updated 2 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-…☆166Updated last year
- ☆120Updated 10 months ago
- ☆135Updated last year
- Our codebase trials provide an implementation of the Select and Trade paper, which proposes a new paradigm for pair trading using hierar…☆129Updated 2 years ago
- We introduce the first end-to-end Deep Reinforcement Learning based framework for active high frequency trading.☆78Updated 2 years ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆206Updated last year
- ☆208Updated 2 years ago
- Limit Order Book data analysis and modeling using LSTM network☆137Updated 6 years ago
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆242Updated 3 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆124Updated 5 years ago
- LOBCAST is a Python-based open-source framework for stock market trend forecasting using Limit Order Book (LOB) data. 🤖📈☆114Updated last year
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆66Updated 4 years ago
- Cryptocurrency Trading with Reinforcement Learning based on Backtrader☆46Updated 10 months ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆138Updated 2 years ago
- TorchQuantum is a backtesting framework that integrates the structure of PyTorch and WorldQuant's Operator for efficient quantitative fin…☆48Updated 2 years ago
- High-frequency statistical arbitrage☆232Updated 2 years ago
- Notes on Advances in Financial Machine Learning☆82Updated 6 years ago
- Deep learning for limit order book trading and mid-price movement☆56Updated 5 years ago
- pseudocode and algorithms for the paper "Alpha$^2$: Discovering Logical Formulaic Alphas using Deep Reinforcement Learning"☆159Updated last year
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆59Updated 2 years ago
- Deep learning modelling of orderbooks☆101Updated 5 years ago
- CS7641 Team project☆97Updated 5 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆86Updated last year
- High Frequency Analysis Based On Level-2 Data（Limit Order Book& Transaction Data)☆111Updated last year
- ☆121Updated 7 years ago