jwallbridge / translobLinks
Transformers for limit order books
☆116Updated 5 years ago
Alternatives and similar repositories for translob
Users that are interested in translob are comparing it to the libraries listed below
Sorting:
- ☆203Updated 2 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆86Updated 4 years ago
- Limit Order Book data analysis and modeling using LSTM network☆137Updated 6 years ago
- Deep learning modelling of orderbooks☆100Updated 4 years ago
- Estimation of the lead-lag parameter from non-synchronous data.☆132Updated 6 months ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆125Updated 2 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆53Updated 2 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆123Updated 5 years ago
- trend / momentum and other patterns in financial timeseries☆275Updated 4 years ago
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆257Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆90Updated 2 years ago
- Deep Q-Learning for Market Making☆126Updated 7 years ago
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆58Updated 2 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆82Updated last year
- To classify trades into buyer- and seller-initiated.☆151Updated 2 years ago
- Research Repo (Archive)☆75Updated 5 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…☆49Updated 8 months ago
- Pair Trading Strategy using Machine Learning written in Python☆121Updated 3 years ago
- Notes on Advances in Financial Machine Learning☆81Updated 6 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆93Updated last year
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆58Updated 2 years ago
- ☆148Updated 5 years ago
- Deep learning for limit order book trading and mid-price movement☆55Updated 4 years ago
- This repository is for the demonstration of our work, "Market Making with Deep Reinforcement Learning from Limit Order Books"☆67Updated 2 years ago
- Calibrates microprice model to BitMEX quote data☆61Updated 4 years ago
- ☆142Updated 2 years ago
- Custom Loss functions for asset return prediction with deep learning regression☆35Updated 2 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆95Updated 4 years ago
- ☆118Updated 7 years ago
- Probability of Backtest Overfitting in Python☆126Updated 2 years ago