high-frequency-data

Open-source desktop application for real-time market microstructure analysis. Explore live Level 2 order books, trades, liquidity, and built-in studies.

We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.

Build your own historical Limit Order Book dataset

[Eurographics 2025 Short] Official PyTorch Implementation for the "3D Gabor Splatting: Reconstruction of High-frequency Surface Texture using Gabor Noise" paper

Companion to publication "Understanding Jumps in High Frequency Digital Asset Markets". Contains scalable implementations of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy high frequency data

Code and documents from Econ 690 at Duke

C++/Python microstructure research engine for event-driven limit order book prediction and reproducible quantitative experiments.

Research project on forecasting BTC/USD market liquidity from high-frequency trades with a custom PyTorch LSTM.

High-frequency broadband activity detected noninvasively in infants distinguishes wake from sleep states (2025)

High-frequency broadband activity detected noninvasively in infants distinguishes wake from sleep states: Part 2 (2025)

Forecasting GDP using MIDAS regressions with mixed-frequency macroeconomic indicators; includes data preparation, model estimation, and evaluation.

The SIMATIC library "LEdgeBuffer" allows creating a local buffer in the PLC to sample high speed signals. This buffer and the recording job can be accessed and controled via OPC-UA.

End-to-End Python replication of Camara & Aublin's (2025) monetary spillover analysis methodology. Implements rotational-angle decomposition, Bayesian VAR with Normal-Wishart priors, sign restrictions for shock identification, and a full robustness suite for international macroeconomic analysis.

DroxenBot is a research project exploring the design of scalable, event-driven architectures for real-time blockchain data ingestion and autonomous decision systems. The project investigates how intelligent agents can operate reliably in high-velocity, noisy environments using distributed systems and machine learning techniques.

SIMOTION Trace connector is a web-based application running on SIEMENS Industrial Edge

A rapid theta network mechanism for flexible information encoding (2023)

High frequency dynamics signal processing and analysis.

Custom built Decision Tree + Boosted Trees + KernelPLS in python