Yan1015 / Pairs-Trading-using-CopulaLinks
This project is to apply Copula Function to pair trading strategy both in American stock market.
☆29Updated 7 years ago
Alternatives and similar repositories for Pairs-Trading-using-Copula
Users that are interested in Pairs-Trading-using-Copula are comparing it to the libraries listed below
Sorting:
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Backtest result archive for Momentum Trading Strategies☆64Updated 6 years ago
- Mean Reversion Trading Strategy☆29Updated 4 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆70Updated 2 years ago
- This trading strategy deploy the copula model to define the divergence of two correlated asset. The backtesting system is built on backtr…☆22Updated 3 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆69Updated 5 years ago
- ☆24Updated 5 years ago
- ☆25Updated 7 years ago
- CS7641 Team project☆97Updated 5 years ago
- Pairs Trading with Machine Learning on Distributed Python Platform☆122Updated 3 years ago
- Notes on Advances in Financial Machine Learning☆82Updated 6 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆70Updated last year
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆68Updated 3 years ago
- ☆33Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆92Updated 2 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
- Research Repo (Archive)☆74Updated 5 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆38Updated 5 years ago
- Time Series Prediction of Volume in LOB☆59Updated 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…☆21Updated 4 years ago
- 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
- ☆47Updated 2 years ago
- Delta hedging under SABR model☆41Updated last year
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 7 years ago
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆18Updated 2 years ago
- High Frequency Market Making: Optimal Quoting☆13Updated 2 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- AI based alpha research for trading☆50Updated 3 years ago
- AS model performance versus trivial delta for market-makers☆21Updated 3 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆50Updated 3 years ago