Category Archives: LOBSTER Data

Clawing in the Jungle

Arnaud Amsellem just publishes an exciting research  using LOBSTER data.  – Using random forest to model limit order book dynamic

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MathWorks Publishes Machine Learning Application Using LOBSTER Data

https://uk.mathworks.com/help/finance/machine-learning-with-financial-data.html?s_tid=CRUX_lftnav

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Evaluate Trading Strategies by Using LOBSTER Data

— A short review of a working paper by Balch et.al (2019) from J.P. Morgan Artificial Intelligence Research and Imperial College London T.H. Balch et.al have published a working paper, “How to Evaluate Trading Strategies: Single Agent Market Replay or … Continue reading

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LOBSTER on Spark

A new LOBSTER engine has been built on Spark. The demo Jupyter-notebook is available at here .

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