Axial LOB: High Frequency Trading with Axial Attention
In this repository you can find the pytorch implementation of the paper Axial LOB: High Frequency Trading with Axial Attention by Damian Kisiel and Denise Gorse.
In the notebook is proposed all the machine learning pipeline, starting from the loading of the dataset, passing from the labeling method, creation of the datasets and dataloaders, ending with the train, validation and test.
Usage
To run the code you just have to download the FI-2010 dataset and change the data path, then the notebook will do the rest, including the training and testing.