KurochkinAlexey / SpatioTemporalMomentumLinks
☆22Updated 2 years ago
Alternatives and similar repositories for SpatioTemporalMomentum
Users that are interested in SpatioTemporalMomentum are comparing it to the libraries listed below
Sorting:
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆86Updated last year
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆126Updated 5 years ago
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆49Updated last year
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆59Updated 2 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆36Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆97Updated 2 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆35Updated last year
- ☆50Updated 2 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆90Updated 4 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Updated 5 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆30Updated 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…☆39Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 3 years ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆33Updated 2 years ago
- ☆55Updated 4 years ago
- Time Series Prediction of Volume in LOB☆59Updated last year
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆72Updated 2 years ago
- ☆41Updated 4 years ago
- Code for the paper Volatility is (mostly) path-dependent☆73Updated last year
- Notes on Advances in Financial Machine Learning☆83Updated 7 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆70Updated last year
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆59Updated 2 years ago
- Baruch MFE 2019 Spring☆43Updated 5 years ago
- ☆55Updated 4 years ago
- Backtest result archive for Momentum Trading Strategies☆67Updated 6 years ago
- ☆11Updated 4 years ago
- An expansion of the Triple-Barrier Method by Marcos López de Prado☆51Updated 2 years ago
- 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 Ne…☆22Updated 4 years ago
- This repository shows the application of PCA technique for risk factor modelling of financial securities.☆21Updated 5 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆36Updated 6 years ago