jwergieluk / ou_noise
Ornstein-Uhlenbeck process simulators and estimators
☆32Updated 3 years ago
Alternatives and similar repositories for ou_noise
Users that are interested in ou_noise are comparing it to the libraries listed below
Sorting:
- Literature survey of order execution strategies implemented in python☆44Updated 4 years ago
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆56Updated 2 years ago
- The book <Advanced Algorithmic Trading> and its source code☆59Updated 7 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆47Updated 5 years ago
- High Frequency Jump Prediction Project☆36Updated 4 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆33Updated 5 years ago
- High Frequency Trading Strategies☆44Updated 7 years ago
- 基于基因表达式规划算法的因子挖掘☆29Updated 3 years ago
- Simulator of a basic order book flow and order execution☆18Updated 2 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆44Updated last year
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆75Updated last year
- 多因子模型相关☆21Updated 3 years ago
- High Frequency Analysis Based On Level-2 Data(Limit Order Book& Transaction Data)☆103Updated 11 months ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆83Updated 4 years ago
- Custom Loss functions for asset return prediction with deep learning regression☆34Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆80Updated 2 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆30Updated last year
- This repository is for the demonstration of our work, "Market Making with Deep Reinforcement Learning from Limit Order Books"☆61Updated 2 years ago
- High frequency trading algorithm for Bitmex☆22Updated 4 years ago
- Deep learning for limit order book trading and mid-price movement☆52Updated 4 years ago
- Pytorch implementation of TransLOB from Transformer for limit order books☆25Updated last year
- High frequency factors based on order and trade data.☆49Updated last year
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆63Updated last year
- Gerber robust statistics for portfolio optimization☆57Updated 2 years ago
- Demonstrative examples for developing quantitative and systematic strategies☆38Updated last year
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆25Updated last year
- Implementation of HFT backtesting simulator and Stoikov strategy☆117Updated 2 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆119Updated 5 years ago
- A Higher-order HMM with EM algo.☆16Updated 3 years ago