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☆88Updated 2 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆31Updated 4 years ago
- Mean Reversion Trading Strategy☆26Updated 4 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆66Updated 2 years ago
- Backtest result archive for Momentum Trading Strategies☆63Updated 6 years ago
- ☆52Updated 4 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- ☆24Updated 5 years ago
- Example of order book modeling.☆58Updated 6 years ago
- ☆36Updated 4 years ago
- Research Repo (Archive)☆75Updated 4 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 is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆30Updated 3 years ago
- This project implements an advanced pairs trading strategy using statistical arbitrage techniques. It leverages Bayesian optimization to …☆41Updated last year
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- Notes on Advances in Financial Machine Learning☆80Updated 6 years ago
- Dynamic portfolio optimization☆26Updated last year
- Repo for HFT project in CMF☆30Updated 2 years ago
- ☆117Updated 7 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆93Updated 4 years ago
- Find trading pairs with Machine Learning☆41Updated 4 years ago
- ☆58Updated 7 months ago
- The goal of the project is to build algorithmic trading system.☆27Updated 4 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Delta hedging under SABR model☆34Updated last year
- ☆25Updated 7 years ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- This project is to monitor the arbitrage opportunity of stocks, options and futures every second based on Put-Call parity in Chinese stoc…☆18Updated 6 years ago