I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead
☆31Apr 30, 2020Updated 6 years ago
Alternatives and similar repositories for Using-random-forest-to-model-limit-order-book-dynamic
Users that are interested in Using-random-forest-to-model-limit-order-book-dynamic are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Source code for the course "Deep Reinforcement Learning for High-Frequency Trading" held at the Ukrainian Catholic University / Czech Tec…☆20Sep 11, 2022Updated 4 years ago
- Deep learning for limit order book trading and mid-price movement☆54Oct 20, 2020Updated 6 years ago
- Python demo code for LOBSTER limit order book data☆13Dec 19, 2019Updated 6 years ago
- Channel break out strategy for High Frequency Trading.☆15Jun 26, 2018Updated 8 years ago
- Modelling for price change forecast using High-frequency Trading limit order book dynamics using ML algorithms☆26Mar 10, 2018Updated 8 years ago
- 1-Click AI Models by DigitalOcean Gradient • AdDeploy popular AI models on DigitalOcean Gradient GPU virtual machines with just a single click. Zero configuration with optimized deployments.
- Study of price volume data to analyze an order imbalance strategy for Bitcoin on BitMEX platform☆12Dec 31, 2018Updated 7 years ago
- Combines alpha signals using a random forest, and demonstrates solutions to overlapping labels issue (rolling autocorrelation) proposed b…☆10Sep 3, 2026Updated 2 months ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆13May 30, 2021Updated 5 years ago
- convertible bond pricing☆13Sep 17, 2014Updated 12 years ago
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆186Sep 28, 2019Updated 7 years ago
- Building a High Frequency Trading Engine with Neural Networks☆12Apr 2, 2018Updated 8 years ago
- Research project on applying deep reinforcement learning to perform financial market predictions. A competitive market maker.☆13Dec 8, 2022Updated 3 years ago
- Example of order book modeling.☆57Jun 18, 2019Updated 7 years ago
- A machine learning pipeline that ingest and process a 20-year historical stock price dataset and try to predict future prices using Light…☆17Nov 20, 2020Updated 5 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆24Dec 12, 2021Updated 4 years ago
- A Python toolkit for high-frequency trade research.☆44Jun 9, 2018Updated 8 years ago
- High frequency algotrading bot for bitmex/gdax/etc written to test micro-scale order flow inequality algorithms developed by using machin…☆15Jun 21, 2018Updated 8 years ago
- My first high-frequency trading strategy using machine learning☆20Sep 16, 2022Updated 4 years ago
- High Frequency Jump Prediction Project☆37Jun 1, 2020Updated 6 years ago
- Time Series Prediction of Volume in LOB☆61Apr 17, 2024Updated 2 years ago
- A Quantitative Trading Strategy Generation and Backtesting Framework☆19Nov 19, 2023Updated 2 years ago
- Build an algorithm that can predict multiple future states of Limit Order Books using high-frequency, multi-variate, short time-frame dat…☆15Aug 31, 2023Updated 3 years ago
- Alpha mining with DEAP-based genetic programming.☆11Jul 7, 2023Updated 3 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆98Mar 12, 2021Updated 5 years ago
- ☆11May 24, 2015Updated 11 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆104Apr 30, 2026Updated 6 months ago
- High Frequency Trading Strategy☆12Dec 20, 2018Updated 7 years ago
- Create a mid-price classifier for limit order books using a CNN and LSTM☆15Apr 24, 2020Updated 6 years ago
- ☆21Sep 18, 2020Updated 6 years ago
- High Frequency Trading Strategies☆49Aug 14, 2017Updated 9 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆19Dec 8, 2022Updated 3 years ago
- ☆132Dec 12, 2017Updated 8 years ago
- 1-Click AI Models by DigitalOcean Gradient • AdDeploy popular AI models on DigitalOcean Gradient GPU virtual machines with just a single click. Zero configuration with optimized deployments.
- Processing and performing financial calculations on HFT data☆10Dec 19, 2018Updated 7 years ago
- orderbooks contain so much more organic informations than moving averages...☆19Updated this week
- Predicting a Stock Price Using a Genetic Algorithm☆16Feb 8, 2018Updated 8 years ago
- MarketGPT: Developing a Pre-trained transformer (GPT) for Modeling Financial Time Series☆19Sep 5, 2025Updated last year
- Zero Intelligence Agent-Based Model of Modern Limit Order Book☆54Feb 5, 2018Updated 8 years ago
- Stock Analysis System based on Spark, Kafka.☆10Dec 22, 2019Updated 6 years ago
- Models and programs developed as part of XTX Forecastin Challenge 2019☆28Jul 6, 2023Updated 3 years ago