YINDAIYING / Deep-Robust-Statistical-ArbitrageLinks
This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NETWORKS"
☆68Updated 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.☆68Updated 2 years ago
- Research Repo (Archive)☆75Updated 5 years ago
- ☆52Updated 4 years ago
- Example of order book modeling.☆58Updated 6 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆86Updated 4 years ago
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago
- ☆24Updated 5 years ago
- Time Series Prediction of Volume in LOB☆58Updated last year
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆68Updated 5 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆90Updated 2 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- CS7641 Team project☆96Updated 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
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆32Updated 4 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆72Updated 5 years ago
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆34Updated 4 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆104Updated 6 years ago
- ☆118Updated 7 years ago
- Delta hedging under SABR model☆35Updated last year
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- Calibrates microprice model to BitMEX quote data☆61Updated 4 years ago
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆58Updated 2 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆79Updated 7 years ago
- Notes on Advances in Financial Machine Learning☆81Updated 6 years ago
- 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
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆35Updated last year
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆56Updated 4 years ago
- Trend Prediction for High Frequency Trading☆43Updated 2 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆34Updated 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