zcakhaa / DeepLOB-Deep-Convolutional-Neural-Networks-for-Limit-Order-BooksLinks
This jupyter notebook is used to demonstrate our recent work, "DeepLOB: Deep Convolutional Neural Networks for Limit Order Books", published in IEEE Transactions on Singal Processing. We use FI-2010 dataset and present how model architecture is constructed here. The FI-2010 is publicly avilable and interested readers can check out their paper.
☆516Updated 4 years ago
Alternatives and similar repositories for DeepLOB-Deep-Convolutional-Neural-Networks-for-Limit-Order-Books
Users that are interested in DeepLOB-Deep-Convolutional-Neural-Networks-for-Limit-Order-Books are comparing it to the libraries listed below
Sorting:
- This code accompanies the the paper Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture (https://arxiv.o…☆581Updated last year
- ☆208Updated 2 years ago
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆259Updated 2 years ago
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆242Updated 3 years ago
- Deep Learning Statistical Arbitrage☆246Updated 3 years ago
- experiments with pair trading☆326Updated 11 months ago
- Benchmark Dataset of Limit Order Book in China Markets☆214Updated 4 years ago
- ☆422Updated 4 years ago
- Code implementation of the Quantigic 101 Formulaic Alphas☆618Updated 6 years ago
- GPU-accelerated Factors analysis library and Backtester☆750Updated 7 months ago
- High frequency trading (HFT) framework built for futures using machine learning and deep learning techniques☆516Updated 3 years ago
- An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implemen…☆378Updated 7 years ago
- Market Making via Reinforcement Learning☆335Updated 6 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.☆203Updated last year
- Avellaneda-Stoikov HFT market making algorithm implementation☆603Updated 2 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆229Updated 2 years ago
- Mostly experiments based on "Advances in financial machine learning" book☆560Updated 4 years ago
- High Frequency Market Making☆600Updated 2 years ago
- ☆354Updated 2 years ago
- GARCH and Multivariate LSTM forecasting models for Bitcoin realized volatility with potential applications in crypto options trading, hed…☆293Updated 4 years ago
- Collection of algorithms for online portfolio selection☆838Updated 2 months ago
- All the answers for exercises from Advances in Financial Machine Learning by Dr Marco Lopez de Parodo.☆769Updated last year
- World Quant 101 alphas的计算和策略化☆303Updated 8 years ago
- Intelligently optimizes technical indicators and optionally selects the least intercorrelated for use in machine learning models☆455Updated 2 years ago
- Implementation of Reinforcement Learning in Pair Trading☆11Updated 4 months ago
- Performance analysis of predictive (alpha) stock factors☆499Updated 3 weeks ago
- Mining technical factors based on symbolic regression via genetic algorithm☆201Updated 2 years ago
- Experimental code supporting the results presented in the scientific research paper entitled "An Application of Deep Reinforcement Learni…☆210Updated 3 years ago
- Limit Order Book data analysis and modeling using LSTM network☆137Updated 6 years ago
- We tested 3 approaches for Pair Trading: distance, cointegration and reinforcement learning approach.☆267Updated 2 years ago