YINDAIYING / Deep-Robust-Statistical-ArbitrageLinks
This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NETWORKS"
☆67Updated last year
Alternatives and similar repositories for Deep-Robust-Statistical-Arbitrage
Users that are interested in Deep-Robust-Statistical-Arbitrage are comparing it to the libraries listed below
Sorting:
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆65Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆87Updated 2 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆87Updated 4 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆65Updated 5 years ago
- Research Repo (Archive)☆75Updated 4 years ago
- Backtest result archive for Momentum Trading Strategies☆63Updated 6 years ago
- Pair Trading Strategy using Machine Learning written in Python☆120Updated 3 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- CS7641 Team project☆96Updated 5 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- ☆52Updated 4 years ago
- ☆117Updated 7 years ago
- ☆24Updated 5 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
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆31Updated 4 years ago
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆54Updated 4 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆106Updated 6 years ago
- This project implements an advanced pairs trading strategy using statistical arbitrage techniques. It leverages Bayesian optimization to …☆41Updated last year
- Example of order book modeling.☆58Updated 6 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆29Updated 5 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
- Delta hedging under SABR model☆34Updated last year
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆71Updated 5 years ago
- Trend Prediction for High Frequency Trading☆42Updated 2 years ago
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆58Updated 2 years ago
- Notes on Advances in Financial Machine Learning☆80Updated 6 years ago
- ☆41Updated 4 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆49Updated 5 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…☆36Updated 5 years ago