awesome-deep-trading
List of code, papers, and resources for AI/deep learning/machine learning/neural networks applied to algorithmic trading.
Open access: all rights granted for use and re-use of any kind, by anyone, at no cost, under your choice of either the free MIT License or Creative Commons CC-BY International Public License.
© 2020 Craig Bailes (@cbailes | Patreon | [email protected])
Contents
Papers
- Classification-based Financial Markets Prediction using Deep Neural Networks - Matthew Dixon, Diego Klabjan, Jin Hoon Bang (2016)
- Deep Learning for Limit Order Books - Justin Sirignano (2016)
- High-Frequency Trading Strategy Based on Deep Neural Networks - Andrés Arévalo, Jaime Niño, German Hernández, Javier Sandoval (2016)
- A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem - Zhengyao Jiang, Dixing Xu, Jinjun Liang (2017)
- Agent Inspired Trading Using Recurrent Reinforcement Learning and LSTM Neural Networks - David W. Lu (2017)
- Deep Hedging - Hans Bühler, Lukas Gonon, Josef Teichmann, Ben Wood (2018)
- Stock Trading Bot Using Deep Reinforcement Learning - Akhil Raj Azhikodan, Anvitha G. K. Bhat, Mamatha V. Jadhav (2018)
- Financial Trading as a Game: A Deep Reinforcement Learning Approach - Chien Yi Huang (2018)
- Practical Deep Reinforcement Learning Approach for Stock Trading - Zhuoran Xiong, Xiao-Yang Liu, Shan Zhong, Hongyang Yang, Anwar Walid (2018)
- Algorithmic Trading and Machine Learning Based on GPU - Mantas Vaitonis, Saulius Masteika, Konstantinas Korovkinas (2018)
- A quantitative trading method using deep convolution neural network - HaiBo Chen, DaoLei Liang, LL Zhao (2019)
- Deep learning in exchange markets - Rui Gonçalves, Vitor Miguel Ribeiro, Fernando Lobo Pereira, Ana Paula Rocha (2019)
- Financial Trading Model with Stock Bar Chart Image Time Series with Deep Convolutional Neural Networks - Omer Berat Sezer, Ahmet Murat Ozbayoglu (2019)
- Deep Reinforcement Learning for Financial Trading Using Price Trailing - Konstantinos Saitas Zarkias, Nikolaos Passalis, Avraam Tsantekidis, Anastasios Tefas (2019)
- Cooperative Multi-Agent Reinforcement Learning Framework for Scalping Trading - Uk Jo, Taehyun Jo, Wanjun Kim, Iljoo Yoon, Dongseok Lee, Seungho Lee (2019)
- Improving financial trading decisions using deep Q-learning: Predicting the number of shares, action strategies, and transfer learning - Gyeeun Jeong, Ha Young Kim (2019)
- Deep Execution - Value and Policy Based Reinforcement Learning for Trading and Beating Market Benchmarks - Kevin Dabérius, Elvin Granat, Patrik Karlsson (2019)
- An Empirical Study of Machine Learning Algorithms for Stock Daily Trading Strategy - Dongdong Lv, Shuhan Yuan, Meizi Li, Yang Xiang (2019)
- Recipe for Quantitative Trading with Machine Learning - Daniel Alexandre Bloch (2019)
- Exploring Possible Improvements to Momentum Strategies with Deep Learning - Adam Takács, X. Xiao (2019)
- Enhancing Time Series Momentum Strategies Using Deep Neural Networks - Bryan Lim, Stefan Zohren, Stephen Roberts (2019)
- Multi-Agent Deep Reinforcement Learning for Liquidation Strategy Analysis - Wenhang Bao, Xiao-yang Liu (2019)
- Deep learning-based feature engineering for stock price movement prediction - Wen Long, Zhichen Lu, Lingxiao Cui (2019)
- Deep Hierarchical Strategy Model for Multi-Source Driven Quantitative Investment - Chunming Tang, Wenyan Zhu, Xiang Yu (2019)
Meta Analyses & Systematic Reviews
- Application of machine learning in stock trading: a review - Kok Sheng Tan, Rajasvaran Logeswaran (2018)
- Evaluating the Performance of Machine Learning Algorithms in Financial Market Forecasting: A Comprehensive Survey - Lukas Ryll, Sebastian Seidens (2019)
- Reinforcement Learning in Financial Markets - Terry Lingze Meng, Matloob Khushi (2019)
- Financial Time Series Forecasting with Deep Learning: A Systematic Literature Review: 2005-2019 - Omer Berat Sezer, Mehmet Ugur Gudelek, Ahmet Murat Ozbayoglu (2019)
- A systematic review of fundamental and technical analysis of stock market predictions - Isaac kofi Nti, Adebayo Adekoya, Benjamin Asubam Weyori (2019)
Convolutional Neural Networks (CNNs)
- A deep learning based stock trading model with 2-D CNN trend detection - Ugur Gudelek, S. Arda Boluk, Murat Ozbayoglu, Murat Ozbayoglu (2017)
- Algorithmic Financial Trading with Deep Convolutional Neural Networks: Time Series to Image Conversion Approach - Omer Berat Sezar, Murat Ozbayoglu (2018)
- DeepLOB: Deep Convolutional Neural Networks for Limit Order Books - Zihao Zhang, Stefan Zohren, Stephen Roberts (2019)
Long Short-Term Memory (LSTMs)
- Application of Deep Learning to Algorithmic Trading, Stanford CS229 - Guanting Chen, Yatong Chen, Takahiro Fushimi (2017)
- Deep Learning for Stock Market Trading: A Superior Trading Strategy? - D. Fister, J. C. Mun, V. Jagrič, T. Jagrič, (2019)
Generative Adversarial Networks (GANs)
- Generative Adversarial Networks for Financial Trading Strategies Fine-Tuning and Combination - Adriano Koshiyama (2019)
- Stock Market Prediction Based on Generative Adversarial Network - Kang Zhang, Guoqiang Zhong, Junyu Dong, Shengke Wang, Yong Wang (2019)
High Frequency
- Algorithmic Trading Using Deep Neural Networks on High Frequency Data - Andrés Arévalo, Jaime Niño, German Hernandez, Javier Sandoval, Diego León, Arbey Aragón (2017)
- Stock Market Prediction on High-Frequency Data Using Generative Adversarial Nets - Xingyu Zhou, Zhisong Pan, Guyu Hu, Siqi Tang, Cheng Zhao (2018)
- Deep Neural Networks in High Frequency Trading - Prakhar Ganesh, Puneet Rakheja (2018)
- Application of Machine Learning in High Frequency Trading of Stocks - Obi Bertrand Obi (2019)
Reinforcement Learning
- Reinforcement learning in financial markets - a survey - Thomas G. Fischer (2018)
- Capturing Financial markets to apply Deep Reinforcement Learning - Souradeep Chakraborty (2019)
- Reinforcement Learning for FX trading - Yuqin Dai, Chris Wang, Iris Wang, Yilun Xu (2019)
Social Processing
Sentiment Analysis
- Improving Decision Analytics with Deep Learning: The Case of Financial Disclosures - Stefan Feuerriegel, Ralph Fehrer (2015)
- Using Machine Learning to Predict Stock Prices - Vivek Palaniappan (2018)
- Stock Prediction Using Twitter - Khan Saad Bin Hasan (2019)
Repositories
- Yvictor/TradingGym - Trading and Backtesting environment for training reinforcement learning agent or simple rule base algo
- Rachnog/Deep-Trading - Experimental time series forecasting
- jobvisser03/deep-trading-advisor - Deep Trading Advisor uses MLP, CNN, and RNN+LSTM with Keras, zipline, Dash and Plotly
- rosdyana/CNN-Financial-Data - Deep Trading using a Convolutional Neural Network
- iamSTone/Deep-trader-CNN-kospi200futures - Kospi200 index futures Prediction using CNN
- ha2emnomer/Deep-Trading - Keras-based LSTM RNN
- gujiuxiang/Deep_Trader.pytorch - This project uses Reinforcement learning on stock market and agent tries to learn trading. PyTorch based.
- ZhengyaoJiang/PGPortfolio - PGPortfolio: Policy Gradient Portfolio, the source code of "A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem"
- yuriak/RLQuant - Applying Reinforcement Learning in Quantitative Trading (Policy Gradient, Direct RL)
- ucaiado/QLearning_Trading - Trading Using Q-Learning
- laikasinjason/deep-q-learning-trading-system-on-hk-stocks-market - Deep Q learning implementation on the Hong Kong Stock Exchange
- golsun/deep-RL-trading - Codebase for paper "Deep reinforcement learning for time series: playing idealized trading games" by Xiang Gao
- huseinzol05/Stock-Prediction-Models - Gathers machine learning and deep learning models for Stock forecasting, included trading bots and simulations
- jiewwantan/StarTrader - Trains an agent to trade like a human using a deep reinforcement learning algorithm: deep deterministic policy gradient (DDPG) learning algorithm
- notadamking/RLTrader - A cryptocurrency trading environment using deep reinforcement learning and OpenAI's gym
Generative Adversarial Networks (GANs)
- borisbanushev/stockpredictionai - A notebook for stock price movement prediction using an LSTM generator and CNN discriminator
- kah-ve/MarketGAN - Implementing a Generative Adversarial Network on the Stock Market
Cryptocurrency
- samre12/deep-trading-agent - Deep Reinforcement Learning-based trading agent for Bitcoin using DeepSense Network for Q function approximation.
- ThirstyScholar/trading-bitcoin-with-reinforcement-learning - Trading Bitcoin with Reinforcement Learning
- lefnire/tforce_btc_trader - A TensorForce-based Bitcoin trading bot (algo-trader). Uses deep reinforcement learning to automatically buy/sell/hold BTC based on price history.
Datasets
- kaggle/Huge Stock Market Dataset - Historical daily prices and volumes of all U.S. stocks and ETFs
- Alpha Vantage - Free APIs in JSON and CSV formats, realtime and historical stock data, FX and cryptocurrency feeds, 50+ technical indicators
- Quandl
Simulation
- Generating Realistic Stock Market Order Streams - Anonymous Authors (2018)
- Deep Hedging: Learning to Simulate Equity Option Markets - Magnus Wiese, Lianjun Bai, Ben Wood, Hans Buehler (2019)
Resources
Presentations
- BigDataFinance Neural Networks Intro - Anastasios Tefas, Assistant Professor at Aristotle University of Thessaloniki (2016)
- Trading Using Deep Learning: Motivation, Challenges, Solutions - Yam Peleg, GPU Technology Conference (2017)
- FinTech, AI, Machine Learning in Finance - Sanjiv Das (2018)
- Deep Residual Learning for Portfolio Optimization:With Attention and Switching Modules - Jeff Wang, Ph.D., NYU
Courses
- Artificial Intelligence for Trading (ND880) nanodegree at Udacity (+GitHub code repo)
- Neural Networks in Trading course by Dr. Ernest P. Chan at Quantra
- Machine Learning and Reinforcement Learning in Finance Specialization by NYU at Coursera
Meetups
Guides & Further Reading
- Neural networks for algorithmic trading. Simple time series forecasting - Alex Rachnog (2016)
- Predicting Cryptocurrency Prices With Deep Learning - David Sheehan (2017)
- Introduction to Learning to Trade with Reinforcement Learning - Denny Britz (2018)
- Webinar: How to Forecast Stock Prices Using Deep Neural Networks - Erez Katz, Lucena Research (2018)
- Creating Bitcoin trading bots that don’t lose money - Adam King (2019)
- Why Deep Reinforcement Learning Can Help Improve Trading Efficiency - Viktor Tachev (2019)
- Optimizing deep learning trading bots using state-of-the-art techniques - Adam King (2019)
- Using the latest advancements in deep learning to predict stock price movements - Boris Banushev (2019)
- Introduction to Deep Learning Trading in Hedge Funds - Neven Pičuljan
React
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