Marblez / HMM_TradingLinks
Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden state patterns.
☆38Updated 5 years ago
Alternatives and similar repositories for HMM_Trading
Users that are interested in HMM_Trading are comparing it to the libraries listed below
Sorting:
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- Backtest result archive for Momentum Trading Strategies☆64Updated 6 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆69Updated 2 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆28Updated 2 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- ☆41Updated 4 years ago
- ☆47Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆92Updated 2 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆69Updated last year
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆115Updated 6 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆54Updated 6 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
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 7 months ago
- Baruch MFE 2019 Spring☆41Updated 5 years ago
- ☆31Updated 2 years ago
- Code for the paper Volatility is (mostly) path-dependent☆69Updated last year
- Time Series Prediction of Volume in LOB☆58Updated last year
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- CS7641 Team project☆97Updated 5 years ago
- SABR Implied volatility asymptotics☆23Updated 5 years ago
- Notes on Advances in Financial Machine Learning☆82Updated 6 years ago
- ☆52Updated 8 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆16Updated 5 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18Updated last year
- ☆53Updated 4 years ago
- quantitative asset allocation strategy☆33Updated 10 months ago
- Research Repo (Archive)☆75Updated 5 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆125Updated 5 years ago
- ☆65Updated 2 years ago