A real-world data, trading day simulator for testing algorithmic trading strategies. This repo also includes the implementation of two High-Frequency trading strategies, one utilising a long short-term memory recurrent neural network (LSTM), and the other, an ordinary differential equation recurrent neural network (ODE-LSTM).
This repo was built to assist the research conducted for my paper: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3956198. If you find it helpful, please cite my work.