BananaHamm / Equity_StatArb
Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee
☆18Updated 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
- ☆47Updated 3 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆61Updated 4 years ago
- A financial trading method using machine learning.☆59Updated last year
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆49Updated 3 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆26Updated 4 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆54Updated 10 months ago
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆50Updated 4 years ago
- A low frequency statistical arbitrage strategy☆19Updated 5 years ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆36Updated last year
- Backtest result archive for Momentum Trading Strategies☆47Updated 5 years ago
- By means of stochastic volatility models☆42Updated 4 years ago
- ☆17Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆75Updated 6 years ago
- Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB☆35Updated 3 years ago
- ☆29Updated 3 years ago
- Basic Limit Order Book functions☆21Updated 6 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 3 years ago
- Volume Weighted Average Price Optimal Execution☆41Updated 5 years ago
- ☆19Updated 4 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆16Updated 2 years ago
- Time Series Prediction of Volume in LOB☆55Updated 9 months ago
- ☆24Updated 6 years ago
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆32Updated 4 years ago
- my talk for credit suisse☆37Updated this week
- 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
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆27Updated 9 months ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated 8 months ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago