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☆97Updated 2 years ago
- Time Series Prediction of Volume in LOB☆60Updated last year
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- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 7 years ago
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- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆31Updated 4 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆30Updated 7 years ago
- ☆55Updated 4 years ago
- Example of order book modeling.☆58Updated 6 years ago
- Research Repo (Archive)☆74Updated 5 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆38Updated 5 years ago
- Mean Reversion Trading Strategy☆29Updated 4 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- ☆66Updated last year
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆71Updated last year
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- Notes on Advances in Financial Machine Learning☆84Updated 7 years ago
- Dynamic portfolio optimization☆31Updated 2 years ago
- Repo for HFT project in CMF☆29Updated 3 years ago
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆126Updated 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
- The goal of the project is to build algorithmic trading system.☆27Updated 5 years ago
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- ☆123Updated 8 years ago