LEARNING THE LIMIT ORDER BOOK: A COMPREHENSIVE MIX BETWEEN STOCHASTIC AND MACHINE LEARNING MODELS FOR GENERATION AND PREDICTION

MSc Thesis 2019-2020 Muhammed Imran Özyar

This repository contains all the code that is used within the research for the models and their evaluation. It also contains the BTCUSDT 1M data set, which contains limit order books of the BTC/USDT ticker from the period of 1st of March 2021 to the 14th of March 2021. Each entry in the data set is seperated from 100ms from the previous one.