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.☆67Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆89Updated 2 years ago
- Mean Reversion Trading Strategy☆27Updated 4 years ago
- Backtest result archive for Momentum Trading Strategies☆63Updated 6 years ago
- Notes on Advances in Financial Machine Learning☆80Updated 6 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆95Updated 4 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆29Updated 4 years ago
- ☆24Updated 5 years ago
- ☆59Updated 8 months ago
- Example of order book modeling.☆57Updated 6 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆125Updated 5 years ago
- Research Repo (Archive)☆75Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆31Updated 4 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- ☆118Updated 7 years ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- ☆52Updated 4 years ago
- Repo for HFT project in CMF☆29Updated 2 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆54Updated 4 years ago
- Dynamic portfolio optimization☆28Updated last year
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- ☆36Updated 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
- 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
- The goal of the project is to build algorithmic trading system.☆27Updated 4 years ago
- High-frequency trading in a limit order book☆59Updated 6 years ago
- Deep learning modelling of orderbooks☆98Updated 4 years ago
- Dynamic delta hedging (DDH) is a trading strategy that involves hedging a non-linear position with linear instruments. Linear instruments…☆15Updated last year