Changes between February, 6th and February, 12th

Due to the slow progress last week, I decided to switch plans and progress with writing. I wrote all chapters on classical trade classification rules (9 pages). I also incorporated these chapters into thesis.pdf. Also, I gathered several ideas on how to improve the transformer chapters.

What's Changed

Writing 📖

• Add chapter on quote rule🔢 by @KarelZe in #146
• Add chapter on depth rule🔢 by @KarelZe in #147
• Add chapter on the EMO rule🔢 by @KarelZe in #149
• Add chapter on trade size rule 📑 by @KarelZe in #150
• Add chapter on CLNV method 🔢 by @KarelZe in #151
• Add chapter on tick rule 🔢 by @KarelZe in #152
• Add chapter on Lee and Ready algorithm + proofreading 🔢 by @KarelZe in #154

Other Changes

• Bump fastparquet from 2023.1.0 to 2023.2.0 by @dependabot in #153

Outlook 🐿️

(same as last week, as I worked on the classical trade classification rules)

• Complete notes and write a draft on the selection of (semi-) supervised approaches
• Rethink Transformer chapter. I'm still not happy with the overall quality. Will probably spend more time rewriting/rethinking.
• Improve transformer implementation e.g., by choosing different search spaces, using numerical embeddings, fixing sample weighting, completing experiments with pytorch 2.0 etc.
• Investigate results of current models e.g., robustness, effective spread, spread, partial dependence plots, etc. (see #8)
  Full Changelog: 23-06...23-07