QuhiQuhihi / regime_modelLinks
detecting regime of financial market
☆44Updated 3 years ago
Alternatives and similar repositories for regime_model
Users that are interested in regime_model are comparing it to the libraries listed below
Sorting:
- Research Repo (Archive)☆74Updated 5 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆36Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆97Updated 2 years ago
- quantitative asset allocation strategy☆34Updated last year
- ☆52Updated 2 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆35Updated 2 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆39Updated 5 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆72Updated 2 years ago
- Backtest result archive for Momentum Trading Strategies☆67Updated 6 years ago
- Notebooks based on financial machine learning.☆58Updated 5 years ago
- Implements different approaches to tactical and strategic asset allocation☆44Updated last year
- Regime detection in historical markets using Hidden Markov Models (HMM) and Support Vector Machines (SVM).☆27Updated 4 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆71Updated last year
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated 2 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 7 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆16Updated 5 years ago
- Mean-Variance Optimization using DL (pytorch)☆32Updated 3 years ago
- Portfolio optimization with cvxopt☆40Updated last month
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆94Updated 4 years ago
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆49Updated last year
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆126Updated 5 years ago
- Time Series Prediction of Volume in LOB☆60Updated last year
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Semi-automatic analysis of a financial series using Python.☆13Updated 4 years ago
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆126Updated 6 years ago
- ☆41Updated 4 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆30Updated 7 years ago
- ☆73Updated 5 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆64Updated last year
- In this repository, the goal is to predict the tick direction of a stock based on its current order book and trade data. A LSTM Neural Ne…☆22Updated 4 years ago