matteoprata / LOBCAST
LOBCAST is a Python-based open-source framework for stock market trend forecasting using Limit Order Book (LOB) data. 🤖📈
☆96Updated 10 months ago
Alternatives and similar repositories for LOBCAST:
Users that are interested in LOBCAST are comparing it to the libraries listed below
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆83Updated 4 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆75Updated last year
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆104Updated 2 years ago
- ☆27Updated last year
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆117Updated 4 years ago
- ☆50Updated last year
- This repository is for the demonstration of our work, "Market Making with Deep Reinforcement Learning from Limit Order Books"☆56Updated last year
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆62Updated 4 years ago
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆53Updated last year
- ☆101Updated 8 months ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆41Updated last year
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆208Updated 2 years ago
- ☆197Updated 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.☆150Updated 10 months ago
- ☆88Updated 2 months ago
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆55Updated 2 years ago
- A study on volume-price factor stock selection model based on wavelet transform and multitask self-attention network☆70Updated 9 months ago
- TorchQuantum is a backtesting framework that integrates the structure of PyTorch and WorldQuant's Operator for efficient quantitative fin…☆41Updated last year
- This is the official repository for the paper TLOB: A Novel Transformer Model with Dual Attention for Stock Price Trend Prediction with L…☆30Updated last week
- Fintech literature, including journal, conference, book and useful links☆92Updated 2 years ago
- High Frequency Analysis Based On Level-2 Data(Limit Order Book& Transaction Data)☆99Updated 10 months ago
- ☆48Updated 4 years ago
- Reimplementation of Paper: (Re-)Imag(in)ing Price Trends☆56Updated 7 months ago
- High frequency factors based on order and trade data.☆44Updated last year
- Pytorch implementation of TransLOB from Transformer for limit order books☆24Updated last year
- Transformers for limit order books☆108Updated 4 years ago
- ☆62Updated 2 years ago
- Official Implementation of SimStock : Representation Model for Stock Similarities☆77Updated 9 months ago
- Benchmark Dataset of Limit Order Book in China Markets☆200Updated 4 years ago
- alpha投研示例☆69Updated last week