LautaroParada / variance-testLinks
Implementation of Lo and MacKinlay's statistical tests from A Non Random Walk Down Wall Street
☆13Updated 3 weeks ago
Alternatives and similar repositories for variance-test
Users that are interested in variance-test are comparing it to the libraries listed below
Sorting:
- a Python tool for downloading sharadar data from Quandl.☆10Updated 3 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆36Updated 2 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- The goal of the project is to build algorithmic trading system.☆27Updated 5 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆96Updated 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
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- detecting regime of financial market☆42Updated 3 years ago
- Research Repo (Archive)☆74Updated 5 years ago
- Code for the paper Volatility is (mostly) path-dependent☆71Updated last year
- Financial applications focusing on portfolio management for Python☆16Updated 2 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 7 years ago
- Time Series Prediction of Volume in LOB☆59Updated last year
- ☆47Updated 2 years ago
- ☆41Updated 4 years ago
- Momentum Trading Assistant (MTA) is a python program designed to replace a Momentum Trader using the Interactive Brokers Trader Workstati…☆11Updated 3 weeks ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆38Updated 5 years ago
- A tool for combining historical data with user-provided forecasts to produce Kelly optimal portfolio allocations☆89Updated 6 months ago
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago
- ☆53Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆123Updated last year
- Probability of Backtest Overfitting in Python☆128Updated 2 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆70Updated last year
- A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading☆19Updated 4 years ago
- Hedge long only portfolio using structural entropy☆16Updated 3 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆35Updated last year
- Notebooks based on financial machine learning.☆55Updated 5 years ago
- Estimating Option-Implied Probability Distributions for Equity Pricing☆11Updated 5 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆94Updated 4 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆71Updated 2 years ago