tanvipotdar / LOBMidPricePredictionLinks
Create a mid-price classifier for limit order books using a CNN and LSTM
☆14Updated 5 years ago
Alternatives and similar repositories for LOBMidPricePrediction
Users that are interested in LOBMidPricePrediction are comparing it to the libraries listed below
Sorting:
- This is for the capstone project "Optimal Execution of a VWAP order".☆34Updated 5 years ago
- High Frequency Jump Prediction Project☆37Updated 5 years ago
- Modelling for price change forecast using High-frequency Trading limit order book dynamics using ML algorithms☆27Updated 7 years ago
- Machine learning approach to high frequency trading, MLP & RNN used☆22Updated 9 years ago
- Deep learning for limit order book trading and mid-price movement☆55Updated 4 years ago
- OpenAI Gym Environment for Low-Latency Trading☆18Updated 7 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆19Updated 2 years ago
- High Frequency Trading Strategies☆49Updated 8 years ago
- High Frequency Trading bot for 2019 Traders at MIT, HFT Case. I placed 4th in the HFT competition (2nd overall) out of 120.☆19Updated 5 years ago
- Advancing in Financial Machine Learning☆16Updated 5 years ago
- Building a High Frequency Trading Engine with Neural Networks☆12Updated 7 years ago
- Channel break out strategy for High Frequency Trading.☆14Updated 7 years ago
- Deep learning for price movement prediction using high frequency limit order data☆40Updated 6 years ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆71Updated 9 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆30Updated 5 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆65Updated 2 years ago
- This repo contains my reimplementation and improvement of DeepLOB model.☆30Updated 4 years ago
- Trend Prediction for High Frequency Trading☆42Updated 2 years ago
- ☆12Updated 4 years ago
- Limit Orderbook CNN model implementation for ETH-BTC (buy-low-sell-high indicator)☆17Updated 2 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆31Updated 4 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆49Updated 5 years ago
- High frequency trading algorithm for Bitmex☆23Updated 5 years ago
- Robust Market Making via Adversarial Reinforcement Learning☆52Updated 5 years ago
- Volume Weighted Average Price Optimal Execution☆41Updated 6 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆30Updated 4 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆15Updated 4 years ago
- Example of order book modeling.☆58Updated 6 years ago
- Alpaca-based Order Book Inbalace Algorithm.☆12Updated 5 years ago