BananaHamm / Equity_StatArbLinks
Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee
☆21Updated 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
Sorting:
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆67Updated 2 years ago
- Example of order book modeling.☆58Updated 6 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆29Updated 4 years ago
- High Frequency Trading bot for 2019 Traders at MIT, HFT Case. I placed 4th in the HFT competition (2nd overall) out of 120.☆19Updated 5 years ago
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆54Updated 5 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆104Updated 6 years ago
- ☆52Updated 4 years ago
- ☆118Updated 7 years ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆38Updated 2 years ago
- Deep learning for limit order book trading and mid-price movement☆55Updated 4 years ago
- Calibrates microprice model to BitMEX quote data☆61Updated 4 years ago
- Trend Prediction for High Frequency Trading☆43Updated 2 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆68Updated last year
- a unified environment for supervised learning and reinforcement learning in the context of quantitative trading☆45Updated 4 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆26Updated 5 years ago
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆93Updated last year
- A project of building and running a trading system according to service oriented architecture standard.☆17Updated 7 years ago
- High-frequency trading in a limit order book☆59Updated 6 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆32Updated 4 years ago
- Robust Market Making via Adversarial Reinforcement Learning☆52Updated 5 years ago
- Deep learning for price movement prediction using high frequency limit order data☆40Updated 6 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆95Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆90Updated 2 years ago
- Notes on Advances in Financial Machine Learning☆81Updated 6 years ago
- Deep learning modelling of orderbooks☆100Updated 4 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆20Updated 2 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- Estimation of the lead-lag parameter from non-synchronous data.☆132Updated 6 months ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago