thertrader / Using-random-forest-to-model-limit-order-book-dynamic
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
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
- ☆13Updated last year
- XTX Forecasting Challenge https://challenge.xtxmarkets.com/☆9Updated 5 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆26Updated 4 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆16Updated 2 years ago
- By means of stochastic volatility models☆42Updated 4 years ago
- ☆19Updated 4 years ago
- Advancing in Financial Machine Learning☆16Updated 4 years ago
- Basic Limit Order Book functions☆21Updated 6 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆28Updated last year
- ☆35Updated 7 years ago
- Hawkes with Latency☆19Updated 4 years ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆37Updated this week
- ☆47Updated 3 years ago
- ☆17Updated 4 years ago
- Library for simulation and analysis of vanilla and exotic options☆31Updated 4 years ago
- CVXPY Portfolio Optimization Sample☆44Updated 7 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 7 years ago
- Exercises in 'Advances in Financial Machine Learning' by Lopez de Prado☆3Updated last year
- Market making strategies and scientific papers☆13Updated last year
- Zakamouline optimal delta hedging strategy python implementation.☆12Updated 2 years ago
- Models and programs developed as part of XTX Forecastin Challenge 2019☆25Updated last year
- High Frequency Jump Prediction Project☆35Updated 4 years ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆36Updated last year
- Bitmex market microstructure analytics☆20Updated 3 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- Backtesting tool on tick data☆11Updated 7 years ago
- Collection of numerical methods for high frequency data, in Python notebooks☆13Updated 3 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- A Deep Learning Framework for Neural Derivative Hedging☆30Updated 2 years ago