jwergieluk / ou_noiseLinks
Ornstein-Uhlenbeck process simulators and estimators
☆32Updated 4 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☆43Updated 5 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆66Updated 2 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆35Updated 6 years ago
- High Frequency Trading Strategies☆48Updated 8 years ago
- High Frequency Jump Prediction Project☆39Updated 5 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆55Updated 2 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆89Updated 4 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆86Updated last year
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆125Updated 5 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆92Updated 2 years ago
- High Frequency Analysis Based On Level-2 Data（Limit Order Book& Transaction Data)☆111Updated last year
- Gerber robust statistics for portfolio optimization☆62Updated 3 years ago
- Calibrates microprice model to BitMEX quote data☆60Updated 4 years ago
- Custom Loss functions for asset return prediction with deep learning regression☆36Updated 3 years ago
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆59Updated 2 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- The book <Advanced Algorithmic Trading> and its source code☆61Updated 7 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 10 months ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆69Updated last year
- High frequency trading algorithm for Bitmex☆22Updated 5 years ago
- Replication of A Stochastic Model for Order Book Dynamics by Cont, Stoikov, and Talreja, 2010☆21Updated 6 years ago
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆67Updated 3 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated 2 years ago
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆36Updated last year
- Simulator of a basic order book flow and order execution☆18Updated 2 years ago
- ARMA-GARCH☆99Updated 2 years ago
- Backtest result archive for Momentum Trading Strategies☆64Updated 6 years ago
- A study on volume-price factor stock selection model based on wavelet transform and multitask self-attention network☆91Updated 6 months ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year