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a3c_trading

Trading with recurrent actor-critic reinforcement learning

alpha-mind

quantitative security portfolio analysis. The analysis pipeline including data storage abstraction, alpha calculation, ML based alpha combining and portfolio calculation.

atgfe

Automated Transparent Genetic Feature Engineering

automatic_stock_trading_with_deep_reinforcement_learning

bayesian_changepoint_detection

Methods to get the probability of a changepoint in a time series.

btgym

Scalable, event-driven, deep-learning-friendly backtesting library

changepoints

Bayesian online change point detection

cnn-lstm_limit_order_book

This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting originally proposed by Zhang et al. (https://arxiv.org/pdf/1808.03668.pdf). The current implementation was adopted in the paper written by Briola et al. (https://arxiv.org/pdf/2007.07319.pdf).

crypto-rl

Deep Reinforcement Learning toolkit: record and replay cryptocurrency limit order book data & train a DDQN agent

deep-learning-for-candle-stick-patterns-identification

This contains jupyter notebooks used for identifying Candle Stick Patterns using Deep Learning.

deep-portfolio-management

Source code for the blog post on the evolution of the asset allocation methods

deep-reinforcement-learning-in-stock-trading

Using deep actor-critic model to learn best strategies in pair trading

deep-trading-agent

Deep Reinforcement Learning based Trading Agent for Bitcoin

deeplob-deep-convolutional-neural-networks-for-limit-order-books

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.

dlsa-public

Deep Learning Statistical Arbitrage

drl-portfolio-management

CSCI 599 deep learning and its applications final project

emd2fnn

financialvision

FinancialVision

flowrisk

A Python Implementation of Measures for Order Flow Risk, e.g. VPIN

forex-rl-challenge

A Deep Reinforcement Learning Challenge on Forex Portfolio Management

fxcm_currency

Using Machine Learning for live currency trading

gsoc17-hhmm

Bayesian Hierarchical Hidden Markov Models applied to financial time series, a research replication project for Google Summer of Code 2017.

heptet

Pair Trading - Reinforcement Learning - with Oanda Trading API

hft-price-prediction

A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.

hierarchical-risk-parity-for-portfolio-management

HRP algorithm for portfolio management in python.

highfrequencytradingsvms

This project implements a high frequency trading strategy that utilizes Support Vector Machines to capture statistical arbitrage in the pricing of Class A and Class C Google stocks.

hmm_market_behavior

Unsupervised Learning to Market Behavior Forecasting Example

hybrid-arima-lstm-model

A financial model to forecast next day SPY closing prices

image-classification-for-trading-strategies

Image Classification for Trading Strategies - Project for Machine Learning Class

investment-and-trading-capstone-project

A stock price predictor that takes daily trading data over a certain date range as input, and outputs projected estimates for given query dates.