BryceMeng / mlfinlab_research_bryce
☆22Updated 4 years ago
Related projects ⓘ
Alternatives and complementary repositories for mlfinlab_research_bryce
- Package based on the work of Dr Marcos Lopez de Prado regarding his research with respect to Advances in Financial Machine Learning☆33Updated 4 years ago
- Library for simulation and analysis of vanilla and exotic options☆31Updated 4 years ago
- FactorLab is a python library that enables the discovery and analysis of alpha and risk factors used in the investment algorithm developm…☆18Updated this week
- tools for alpha research☆23Updated 6 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆34Updated 6 months ago
- A financial trading method using machine learning.☆58Updated last year
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆36Updated 4 years ago
- AI based alpha research for trading☆46Updated 2 years ago
- A Python toolkit for high-frequency trade research.☆39Updated 6 years ago
- Trend Prediction for High Frequency Trading☆38Updated last year
- CVXPY Portfolio Optimization Sample☆43Updated 7 years ago
- A low frequency statistical arbitrage strategy☆18Updated 5 years ago
- ☆46Updated 3 years ago
- Common financial risk and performance metrics. Used by zipline and pyfolio.☆53Updated last week
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆35Updated last year
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆12Updated 3 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 6 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 6 years ago
- Backtest result archive for Momentum Trading Strategies☆46Updated 5 years ago
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆18Updated 5 years ago
- A Sharpe ratio optimised decoder-only TFT based Momentum Transformer and LSTM Deep Momentum Network trading model using FinBERT breaking …☆13Updated last year
- Financial applications focusing on portfolio management for Python☆16Updated last year
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆24Updated 6 months ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆27Updated 4 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆49Updated 3 years ago
- By means of stochastic volatility models☆41Updated 4 years ago
- High Frequency Jump Prediction Project☆34Updated 4 years ago
- A library for portfolio optimization algorithms with python interface.☆27Updated 3 years ago
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆26Updated 7 months ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆55Updated last year