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☆85Updated 2 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆65Updated 2 years ago
- Backtest result archive for Momentum Trading Strategies☆61Updated 6 years ago
- Mean Reversion Trading Strategy☆26Updated 4 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆66Updated last year
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 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
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 6 years ago
- Dynamic portfolio optimization☆26Updated last year
- Example of order book modeling.☆58Updated 6 years ago
- ☆24Updated 5 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- ☆51Updated 4 years ago
- 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
- ☆57Updated 6 months 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
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆14Updated 4 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
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆92Updated 4 years ago
- Collection of Models related to market making☆18Updated 4 years ago
- Notes on Advances in Financial Machine Learning☆80Updated 6 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- ☆42Updated 2 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆52Updated 3 years ago
- Find trading pairs with Machine Learning☆41Updated 4 years ago
- Dynamic delta hedging (DDH) is a trading strategy that involves hedging a non-linear position with linear instruments. Linear instruments…☆14Updated last year
- AI based alpha research for trading☆49Updated 3 years ago
- This project implements an advanced pairs trading strategy using statistical arbitrage techniques. It leverages Bayesian optimization to …☆40Updated last year