lorenzolucchese / deepOBsLinks
The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.
☆47Updated last year
Alternatives and similar repositories for deepOBs
Users that are interested in deepOBs are comparing it to the libraries listed below
Sorting:
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆47Updated 5 years ago
- 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…☆62Updated 2 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆83Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆81Updated 2 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
- Pytorch implementation of TransLOB from Transformer for limit order books☆26Updated 2 years ago
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆57Updated 2 years ago
- ☆31Updated last year
- LeonardoBerti00 / Data-Normalization-for-Bilinear-Structures-in-High-Frequency-Financial-Time-series-BiN-TABLPytorch implementation of BIN-TABL from Data Normalization for Bilinear Structures in HF Financial Time-series☆12Updated 10 months ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆64Updated last year
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆30Updated last year
- Calibrates microprice model to BitMEX quote data☆56Updated 3 years ago
- High Frequency Trading Strategies☆45Updated 7 years ago
- ☆50Updated 4 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆34Updated 5 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 4 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 4 years ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆114Updated 2 years ago
- Deep learning for limit order book trading and mid-price movement☆53Updated 4 years ago
- Custom Loss functions for asset return prediction with deep learning regression☆34Updated 2 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆14Updated 3 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆15Updated 7 years ago
- A Higher-order HMM with EM algo.☆16Updated 3 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- ☆26Updated 2 years ago
- ☆24Updated 5 years ago
- High Frequency Jump Prediction Project☆36Updated 5 years ago
- ☆51Updated 4 years ago
- TorchQuantum is a backtesting framework that integrates the structure of PyTorch and WorldQuant's Operator for efficient quantitative fin…☆45Updated last year