A Python high-frequency intraday trading engine for simulating the rolling intrinsic strategy on the European market, solved as a dynamic program. See our paper (tbd, Schaurecker & Wozabal et al.
DeepGFT requires python version >= 3.7. We tested it in python 3.8.16 and cuda 11.6.1 on Linux. pip install torch==1.12.0+cu116 torchvision==0.13.0+cu116 torchaudio ...
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