PanPip / researchLinks
Contains all the Jupyter Notebooks used in our research
☆15Updated 5 years ago
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- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆69Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆92Updated 2 years ago
- Mean Reversion Trading Strategy☆29Updated 4 years ago
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- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆32Updated 4 years ago
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- Example of order book modeling.☆58Updated 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
- 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
- ☆24Updated 5 years ago
- ☆60Updated 9 months ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- Notes on Advances in Financial Machine Learning☆82Updated 6 years ago
- ☆38Updated 4 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆69Updated last year
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 5 years ago
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- public version of MLFINLAB from Hudson-Thames☆25Updated 3 years ago
- Research Repo (Archive)☆75Updated 5 years ago
- ☆53Updated 4 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆97Updated 4 years ago
- Find trading pairs with Machine Learning☆41Updated 4 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆15Updated 4 years ago
- Different trading strategies based on technical analysis using Ethereum/USD 5-minute bars data☆21Updated 4 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 7 years ago
- AS model performance versus trivial delta for market-makers☆21Updated 3 years ago
- Collection of Models related to market making☆17Updated 4 years ago
- Repo for HFT project in CMF☆29Updated 2 years ago
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