PanPip / researchLinks
Contains all the Jupyter Notebooks used in our research
☆15Updated 5 years ago
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- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆84Updated 2 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆65Updated 2 years ago
- ☆24Updated 5 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆31Updated 4 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- Package to build risk model for factor pricing model☆28Updated 11 months ago
- ☆50Updated 4 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆29Updated 3 years ago
- Backtest result archive for Momentum Trading Strategies☆60Updated 6 years ago
- Mean Reversion Trading Strategy☆25Updated 4 years ago
- This project implements an advanced pairs trading strategy using statistical arbitrage techniques. It leverages Bayesian optimization to …☆40Updated last year
- ☆52Updated 6 months 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
- Example of order book modeling.☆57Updated 6 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- Collection of Models related to market making☆17Updated 4 years ago
- ☆24Updated 6 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 6 years ago
- Research Repo (Archive)☆74Updated 4 years ago
- The goal of the project is to build algorithmic trading system.☆27Updated 4 years ago
- ☆33Updated 3 years ago
- Delta hedging under SABR model☆33Updated last year
- AI based alpha research for trading☆49Updated 3 years ago
- Dynamic portfolio optimization☆24Updated last year
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- ☆114Updated 7 years ago
- A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading☆17Updated 4 years ago
- Find trading pairs with Machine Learning☆41Updated 4 years ago