rodriveracom / mds20_deepfolio
This is the repository for the Models of Sequence Data 2020 Edition for the project DeepFolio
☆15Updated 4 years ago
Alternatives and similar repositories for mds20_deepfolio:
Users that are interested in mds20_deepfolio are comparing it to the libraries listed below
- Transformers for limit order books☆12Updated 3 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆26Updated 4 years ago
- Experiments in Recurrent Highway Networks with Grouped Auxiliary Memory paper☆21Updated 5 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆16Updated 2 years ago
- MarketGPT: Developing a Pre-trained transformer (GPT) for Modeling Financial Time Series☆12Updated 4 months ago
- This repo contains my reimplementation and improvement of DeepLOB model.☆29Updated 3 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆41Updated last year
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆56Updated last year
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆27Updated 4 years ago
- Robust Market Making via Adversarial Reinforcement Learning☆51Updated 4 years ago
- Transformers for limit order books☆108Updated 4 years ago
- Custom Loss functions for asset return prediction with deep learning regression☆34Updated 2 years ago
- Pytorch implementation of TransLOB from Transformer for limit order books☆24Updated last year
- a unified environment for supervised learning and reinforcement learning in the context of quantitative trading☆45Updated 3 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆49Updated 3 years ago
- Hedging unsing Deep Reinforcement Learning and Deep Learning☆23Updated 3 years ago
- CAIS++ Spring 2019 Project: Building an Agent to Trade with Reinforcement Learning☆40Updated 5 years ago
- source : http://coin.wne.uw.edu.pl/pwojcik/hfd_en.html☆36Updated 6 years ago
- Deep learning for limit order book trading and mid-price movement☆49Updated 4 years ago
- ☆11Updated 5 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆64Updated last year
- Gerber robust statistics for portfolio optimization☆57Updated 2 years ago
- Adjusting an implementaion of AlphaZero to trading.☆28Updated 6 years ago
- Deep learning for price movement prediction using high frequency limit order data☆40Updated 6 years ago
- High-performing deep learning trader on a multithreaded financial exchange simulation.☆18Updated this week
- High Frequency Jump Prediction Project☆36Updated 4 years ago
- D ratio is a performance metric to analyse the efficiency of algorithms that predict asset return or asset prices☆21Updated last year
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆44Updated 4 years ago
- A framework for training and evaluating deep learning models in Quantitative trading domain☆48Updated 5 years ago
- ☆23Updated 2 years ago