yuxiangalvin / DeepLOB-Model-Implementation-Project
This repo contains some codes and outputs of my implementation of DeepLOB model.
☆83Updated 4 years ago
Alternatives and similar repositories for DeepLOB-Model-Implementation-Project:
Users that are interested in DeepLOB-Model-Implementation-Project are comparing it to the libraries listed below
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆108Updated 2 years ago
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆54Updated 2 years ago
- ☆199Updated 2 years ago
- This repository is for the demonstration of our work, "Market Making with Deep Reinforcement Learning from Limit Order Books"☆61Updated 2 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆119Updated 5 years ago
- Literature survey of order execution strategies implemented in python☆44Updated 4 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆47Updated 5 years ago
- CS7641 Team project☆94Updated 4 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆75Updated last year
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆56Updated 2 years ago
- Deep learning modelling of orderbooks☆95Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆80Updated 2 years ago
- We introduce the first end-to-end Deep Reinforcement Learning based framework for active high frequency trading.☆66Updated last year
- Pair Trading Strategy using Machine Learning written in Python☆117Updated 2 years ago
- Transformers for limit order books☆111Updated 4 years ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆156Updated 11 months ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆44Updated last year
- Implementation of HFT backtesting simulator and Stoikov strategy☆115Updated last year
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆62Updated 4 years ago
- ☆113Updated 7 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆102Updated 6 years ago
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆216Updated 3 years ago
- Pytorch implementation of TransLOB from Transformer for limit order books☆25Updated last year
- ☆49Updated 4 years ago
- ☆27Updated last year
- High Frequency Analysis Based On Level-2 Data(Limit Order Book& Transaction Data)☆102Updated 11 months ago
- High Frequency Trading Strategies☆44Updated 7 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆62Updated last year
- ☆25Updated 2 years ago