nicolezattarin / LOB-feature-analysisLinks
Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.
☆232Updated 3 years ago
Alternatives and similar repositories for LOB-feature-analysis
Users that are interested in LOB-feature-analysis are comparing it to the libraries listed below
Sorting:
- High Frequency Analysis Based On Level-2 Data(Limit Order Book& Transaction Data)☆108Updated last year
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆210Updated 2 years ago
- Benchmark Dataset of Limit Order Book in China Markets☆209Updated 4 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆129Updated 2 years ago
- ☆408Updated 4 years ago
- Order Imbalance Strategy in High Frequency Trading☆136Updated 7 years ago
- ☆108Updated 5 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆147Updated 5 years ago
- experiments with pair trading☆310Updated 7 months ago
- ☆202Updated 2 years ago
- HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-ma…☆246Updated last month
- High-frequency statistical arbitrage☆206Updated 2 years ago
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆63Updated 4 years ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆120Updated 2 years ago
- Analysis of High Frequency Trading on Bitcoin exchanges☆157Updated 7 years ago
- A collection of homeworks of market microstructure models.☆250Updated 7 years ago
- The book <Advanced Algorithmic Trading> and its source code☆60Updated 7 years ago
- 非平衡订单流高频交易模型☆111Updated 6 years ago
- World Quant 101 alphas的计算和策略化☆283Updated 8 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.☆176Updated last year
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆167Updated 5 years ago
- Deep Learning Statistical Arbitrage☆237Updated 2 years ago
- 101 alpha factors calculate based on Alpha101☆129Updated 6 years ago
- Limit Order Book data analysis and modeling using LSTM network☆138Updated 6 years ago
- Literature survey of order execution strategies implemented in python☆45Updated 5 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆83Updated 2 years ago
- Mining technical factors based on symbolic regression via genetic algorithm☆187Updated 2 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆86Updated 4 years ago
- This repository is for the demonstration of our work, "Market Making with Deep Reinforcement Learning from Limit Order Books"☆66Updated 2 years ago
- CS7641 Team project☆96Updated 5 years ago