tanvipotdar / LOBMidPricePrediction
Create a mid-price classifier for limit order books using a CNN and LSTM
☆14Updated 4 years ago
Alternatives and similar repositories for LOBMidPricePrediction:
Users that are interested in LOBMidPricePrediction are comparing it to the libraries listed below
- Building a High Frequency Trading Engine with Neural Networks☆12Updated 6 years ago
- Modelling for price change forecast using High-frequency Trading limit order book dynamics using ML algorithms☆25Updated 7 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆44Updated 4 years ago
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆18Updated 6 years ago
- ☆19Updated 4 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆16Updated 2 years ago
- High Frequency Trading Strategies☆41Updated 7 years ago
- Trend Prediction for High Frequency Trading☆39Updated 2 years ago
- Fast, Multi threaded and Efficient Trade Matching Engine☆25Updated 3 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆33Updated 5 years ago
- XTX Forecasting Challenge https://challenge.xtxmarkets.com/☆9Updated 5 years ago
- Market making strategies and scientific papers☆13Updated last year
- OpenAI Gym Environment for Low-Latency Trading☆18Updated 6 years ago
- High Frequency Jump Prediction Project☆35Updated 4 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.☆18Updated 5 years ago
- Machine learning approach to high frequency trading, MLP & RNN used☆22Updated 8 years ago
- Vpin caculation and backtesting☆14Updated 5 years ago
- ☆11Updated 7 years ago
- ☆49Updated 3 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
- ☆15Updated 2 years ago
- Apply LASSO in High-Frequency-Trading☆9Updated 5 years ago
- Exercises in 'Advances in Financial Machine Learning' by Lopez de Prado☆3Updated last year
- Channel break out strategy for High Frequency Trading.☆13Updated 6 years ago
- High frequency trading algorithm for Bitmex☆21Updated 4 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 3 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 5 years ago
- Collections of snippets for trading I find interesting☆25Updated 2 months ago
- Deep learning for limit order book trading and mid-price movement☆49Updated 4 years ago