toma-x / exploring-order-book-predictability
Deep learning approach for market price prediction, in JAX
☆28Updated 5 months ago
Related projects ⓘ
Alternatives and complementary repositories for exploring-order-book-predictability
- Repository for market making ideas☆37Updated 6 months ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆28Updated 3 years ago
- A Practical Guide to a Simple Data Stack.☆34Updated last month
- This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in…☆67Updated 6 years ago
- Build your own historical Limit Order Book dataset☆34Updated 3 years ago
- Example of order book modeling.☆57Updated 5 years ago
- ☆102Updated 6 years ago
- Package to build risk model for factor pricing model☆24Updated 3 months ago
- a cpp framework for crypto currentcy tick data backtesting☆16Updated 3 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆33Updated 3 years ago
- High Frequency Trading Strategies☆41Updated 7 years ago
- Hexital - Incremental Technical Analysis Library☆14Updated last month
- Time Series Prediction of Volume in LOB☆53Updated 6 months ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆68Updated 6 years ago
- ☆26Updated 3 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆49Updated 8 months ago
- Volume-Synchronized Probability of Informed Trading☆106Updated 11 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆58Updated 4 years ago
- Calibrates microprice model to BitMEX quote data☆54Updated 3 years ago
- ☆38Updated 5 years ago
- Sharing quantitative analyses on Crypto Lake data☆56Updated 2 months ago
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆49Updated 4 years ago
- Process tardis.dev cryptocurrency data, reconstructing the market depth and computing imbalance.☆18Updated 3 years ago
- I built a real-time streaming data pipeline using kafka, consuming deribit-api-v2 limit order book prices 📈 and transforming them into …☆19Updated 2 years ago
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆86Updated 6 months ago
- High-frequency trading in a limit order book☆54Updated 5 years ago
- high-frequency grid trading strategy backtesting for binance futures☆24Updated 2 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆43Updated 4 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆96Updated last year