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☆92Updated 2 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆70Updated 2 years ago
- Mean Reversion Trading Strategy☆29Updated 4 years ago
- Time Series Prediction of Volume in LOB☆58Updated last year
- ☆65Updated 10 months ago
- ☆53Updated 4 years ago
- Research Repo (Archive)☆75Updated 5 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆32Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆79Updated 7 years ago
- ☆24Updated 5 years ago
- Dynamic portfolio optimization☆29Updated last year
- ☆47Updated 2 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- The goal of the project is to build algorithmic trading system.☆27Updated 5 years ago
- A low frequency statistical arbitrage strategy☆20Updated 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
- Find trading pairs with Machine Learning☆41Updated 4 years ago
- Backtest result archive for Momentum Trading Strategies☆64Updated 6 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆29Updated 7 years ago
- Dynamic delta hedging (DDH) is a trading strategy that involves hedging a non-linear position with linear instruments. Linear instruments…☆15Updated 2 years ago
- Notes on Advances in Financial Machine Learning☆82Updated 6 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆103Updated 6 years ago
- Delta hedging under SABR model☆40Updated last year
- Example of order book modeling.☆57Updated 6 years ago
- ☆37Updated 4 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆38Updated 5 years ago
- Baruch MFE 2019 Spring☆43Updated 5 years ago
- ☆25Updated 7 years ago
- AI based alpha research for trading☆50Updated 3 years ago