jessgess / deep-learning-for-order-book-price-and-movement-predictions
Limit Order Book data analysis and modeling using LSTM network
☆136Updated 6 years ago
Alternatives and similar repositories for deep-learning-for-order-book-price-and-movement-predictions
Users that are interested in deep-learning-for-order-book-price-and-movement-predictions are comparing it to the libraries listed below
Sorting:
- ☆199Updated 2 years ago
- ☆138Updated 2 years ago
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆158Updated 5 years ago
- Deep learning modelling of orderbooks☆95Updated 4 years ago
- Pair Trading Strategy using Machine Learning written in Python☆117Updated 3 years ago
- Order Imbalance Strategy in High Frequency Trading☆130Updated 6 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆141Updated 5 years ago
- This repository is for the demonstration of our work, "Market Making with Deep Reinforcement Learning from Limit Order Books"☆61Updated 2 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆193Updated last year
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆83Updated 4 years ago
- Transformers for limit order books☆111Updated 4 years ago
- Deep Q-Learning for Market Making☆122Updated 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.☆217Updated 3 years ago
- ☆113Updated 7 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆119Updated 5 years ago
- Notes on Advances in Financial Machine Learning☆79Updated 6 years ago
- Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning☆140Updated 5 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆132Updated 6 years ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆110Updated 2 years ago
- Analysis of High Frequency Trading on Bitcoin exchanges☆156Updated 7 years ago
- High-frequency statistical arbitrage☆189Updated last year
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆102Updated 6 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆117Updated 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.☆158Updated 11 months ago
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆125Updated 5 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆80Updated 2 years ago
- Solutions for selected exercises from Advances in Financial Machine Learning by Marcos Lopez De Prado☆58Updated 2 years ago
- trend / momentum and other patterns in financial timeseries☆264Updated 3 years ago
- algo trading backtesting on BitMEX☆77Updated last year
- Deep learning for limit order book trading and mid-price movement☆52Updated 4 years ago