DavidCico / Forecasting-direction-of-trade-an-example-with-LSTM-neural-network
In this repository, the goal is to predict the tick direction of a stock based on its current order book and trade data. A LSTM Neural Network is used as an example of potential solution for such problem.
☆19Updated 3 years ago
Alternatives and similar repositories for Forecasting-direction-of-trade-an-example-with-LSTM-neural-network:
Users that are interested in Forecasting-direction-of-trade-an-example-with-LSTM-neural-network are comparing it to the libraries listed below
- A financial trading method using machine learning.☆60Updated 2 years ago
- ☆21Updated 5 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆61Updated last year
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆33Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆79Updated 2 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆29Updated last year
- Deep Reinforcement Learning Framework for Factor Investing☆25Updated 2 years ago
- Mean Reversion Trading Strategy☆23Updated 3 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆33Updated 5 years ago
- ☆24Updated 6 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago
- Backtest result archive for Momentum Trading Strategies☆52Updated 6 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆63Updated 5 years ago
- ☆49Updated 4 years ago
- Implements different approaches to tactical and strategic asset allocation☆31Updated 3 months ago
- Package to build risk model for factor pricing model☆24Updated 8 months ago
- ☆18Updated 8 years ago
- Time Series Prediction of Volume in LOB☆57Updated 11 months ago
- A model simulation shows how pairs trading could be used for two S&P500 traded stocks. It proofs that the strategy is successful on real…☆25Updated 4 years ago
- Literature survey of order execution strategies implemented in python☆42Updated 4 years ago
- Trend Prediction for High Frequency Trading☆39Updated 2 years ago
- Research Repo (Archive)☆73Updated 4 years ago
- A low frequency statistical arbitrage strategy☆19Updated 6 years ago
- Mean-Variance Optimization using DL (pytorch)☆31Updated 3 years ago
- public version of MLFINLAB from Hudson-Thames☆23Updated 3 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
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆44Updated 5 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago