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:
- Machine learning approach to high frequency trading, MLP & RNN used☆22Updated 8 years ago
- Advancing in Financial Machine Learning☆16Updated 5 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆18Updated 2 years ago
- High Frequency Jump Prediction Project☆36Updated 5 years ago
- ☆19Updated 4 years ago
- Exercises in 'Advances in Financial Machine Learning' by Lopez de Prado☆3Updated 2 years ago
- OpenAI Gym Environment for Low-Latency Trading☆18Updated 6 years ago
- 2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)☆17Updated 5 years ago
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆21Updated 6 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆13Updated 3 years ago
- XTX Forecasting Challenge https://challenge.xtxmarkets.com/☆9Updated 5 years ago
- Modelling for price change forecast using High-frequency Trading limit order book dynamics using ML algorithms☆25Updated 7 years ago
- Vpin caculation and backtesting☆14Updated 5 years ago
- Trend Prediction for High Frequency Trading☆41Updated 2 years ago
- Building a High Frequency Trading Engine with Neural Networks☆12Updated 7 years ago
- Market making strategies and scientific papers☆13Updated last year
- Basic Limit Order Book functions☆21Updated 7 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 4 years ago
- Deep learning for price movement prediction using high frequency limit order data☆40Updated 6 years ago
- Using Q-learning to better navigate orderbooks.☆22Updated 7 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆34Updated 5 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆27Updated 5 years ago
- Deep Reinforcement Learning applied to trading☆15Updated 6 years ago
- ☆25Updated 9 years ago
- Pytorch implementation of DeepLOB-ATT and DeepLOB-Seq2Seq from Multi Horizon Forecasting for Limit Order Books☆11Updated 2 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- High Frequency Trading Strategies☆45Updated 7 years ago
- ☆12Updated 4 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆15Updated 7 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆26Updated 4 years ago