BananaHamm / Equity_StatArb
Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee
☆20Updated 6 years ago
Alternatives and similar repositories for Equity_StatArb:
Users that are interested in Equity_StatArb are comparing it to the libraries listed below
- ☆49Updated 4 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆60Updated 2 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆13Updated 3 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- Example of order book modeling.☆56Updated 5 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- ☆31Updated 3 years ago
- High Frequency Trading Strategies☆44Updated 7 years ago
- ☆21Updated 5 years ago
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆52Updated 4 years ago
- Delta hedging under SABR model☆30Updated 11 months ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆62Updated last year
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago
- ☆113Updated 7 years ago
- Backtest result archive for Momentum Trading Strategies☆54Updated 6 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆47Updated 5 years ago
- Calibrates microprice model to BitMEX quote data☆56Updated 3 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆35Updated 3 years ago
- Developing a trend following model using futures☆31Updated last year
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 4 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆50Updated 3 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆70Updated 4 years ago
- Deep learning for limit order book trading and mid-price movement☆52Updated 4 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- #易经 #道家 #十二生肖 #姓氏堂号子嗣贞节牌坊 #天文历法 #张灯结彩 #农历 #夜观星象 #廿四节气 #算卜 #紫微斗数 #十二时辰 #生辰八字 #命运 #风水 《始祖赢政之子赢家黄氏江夏堂联富•秦谏——大秦赋》 万般皆下品,唯有读书高。🚩🇨🇳🏹🦔中科红旗,…☆46Updated 3 weeks ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆26Updated 4 years ago
- Volume Weighted Average Price Optimal Execution☆41Updated 6 years ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆37Updated last year
- Quantitative Momentum - Investment Strategy inspired by Wesley Gray and Jack Vogel☆39Updated 6 years ago