DavidCico / Forecasting-direction-of-trade-an-example-with-LSTM-neural-networkLinks
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 4 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
Sorting:
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆84Updated 2 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆65Updated 2 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Backtest result archive for Momentum Trading Strategies☆60Updated 6 years ago
- Research Repo (Archive)☆74Updated 4 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆66Updated last year
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆36Updated 5 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆122Updated 5 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 6 years ago
- Notes on Advances in Financial Machine Learning☆80Updated 6 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆46Updated 3 years ago
- ☆24Updated 5 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆34Updated 2 years ago
- ☆50Updated 4 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 years ago
- Trend Prediction for High Frequency Trading☆42Updated 2 years ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- Pair Trading Strategy using Machine Learning written in Python☆119Updated 3 years ago
- ☆24Updated 6 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆29Updated 4 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆89Updated 4 years ago
- Develop about 200 alpha factors from securities report etc, Grid Search/Random Search/Particle Swarm Optimization to improve factors perf…☆21Updated 6 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- Mean Reversion Trading Strategy☆25Updated 4 years ago
- ☆114Updated 7 years ago
- Mean-Variance Optimization using DL (pytorch)☆31Updated 3 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago