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Xu Yingzhong's Projects

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

lean icon lean

Lean Algorithmic Trading Engine by QuantConnect (C#, Python)

peg-markdown icon peg-markdown

An implementation of markdown in C, using a PEG grammar

prettymaps icon prettymaps

A small set of Python functions to draw pretty maps from OpenStreetMap data. Based on osmnx, matplotlib and shapely libraries.

scatic icon scatic

A static website generator built on scala

slate icon slate

Beautiful static documentation for your API

spx-gamma-exposure icon spx-gamma-exposure

Calculates estimate of market maker gamma exposure derived from S&P 500 index options

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