KangOxford / Volume-Forecasting
Time Series Prediction of Volume in LOB
☆56Updated 11 months ago
Alternatives and similar repositories for Volume-Forecasting:
Users that are interested in Volume-Forecasting are comparing it to the libraries listed below
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆69Updated 4 years ago
- A financial trading method using machine learning.☆60Updated last year
- ☆36Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆79Updated 2 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆75Updated 6 years ago
- Backtest result archive for Momentum Trading Strategies☆50Updated 6 years ago
- Research Repo (Archive)☆72Updated 4 years ago
- ☆49Updated 3 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆50Updated 3 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆59Updated last year
- Example of order book modeling.☆56Updated 5 years ago
- ☆21Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆116Updated last year
- ☆42Updated 5 years ago
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆105Updated 10 months ago
- Baruch MFE 2019 Spring☆38Updated 4 years 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
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆40Updated last week
- Package to build risk model for factor pricing model☆24Updated 7 months ago
- Volume-Synchronized Probability of Informed Trading☆110Updated 11 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆65Updated 5 years ago
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆52Updated 4 years ago
- CS7641 Team project☆93Updated 4 years ago
- ☆39Updated 3 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆27Updated 6 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆75Updated last year
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- A low frequency statistical arbitrage strategy☆19Updated 6 years ago
- ☆20Updated 2 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆30Updated last year