Marblez / HMM_Trading
Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden state patterns.
☆32Updated 4 years ago
Alternatives and similar repositories for HMM_Trading:
Users that are interested in HMM_Trading are comparing it to the libraries listed below
- A financial trading method using machine learning.☆58Updated last year
- Mean-Variance Optimization using DL (pytorch)☆30Updated 2 years ago
- Implements different approaches to tactical and strategic asset allocation☆30Updated last month
- detecting regime of financial market☆34Updated 2 years ago
- ☆21Updated 5 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆79Updated last year
- ☆17Updated 8 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆43Updated 2 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- Notebooks based on financial machine learning.☆47Updated 4 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆57Updated 11 months ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆69Updated 4 years ago
- CS7641 Team project☆93Updated 4 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆25Updated 6 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆65Updated 5 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated 9 months ago
- Backtest result archive for Momentum Trading Strategies☆50Updated 5 years ago
- Package based on the textbooks: Advances in Financial Machine Learning and Machine Learning for Asset Managers, by Marcos Lopez de Prado.☆25Updated 4 years ago
- ☆35Updated 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
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 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…☆24Updated 4 years ago
- Dispersion Trading using Options☆32Updated 7 years ago
- ☆39Updated 3 years ago
- three stochastic volatility model: Heston, SABR, SVI☆84Updated 5 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆25Updated last year
- 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…☆18Updated 3 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆29Updated last year
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆45Updated 5 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago