Yan1015 / Pairs-Trading-using-CopulaLinks
This project is to apply Copula Function to pair trading strategy both in American stock market.
☆30Updated 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☆67Updated 6 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆72Updated 2 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆70Updated last year
- 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
- ☆25Updated 7 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
- This is the final project of Statistical Arbitrage course and it aims to apply pairs trading in high frequency data to realize auto-tradi…☆19Updated 7 years ago
- CS7641 Team project☆97Updated 5 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
- Mean Reversion Trading Strategy☆29Updated 4 years ago
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆74Updated 3 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆70Updated 5 years ago
- Pairs Trading with Machine Learning on Distributed Python Platform☆125Updated 3 years ago
- High Frequency Market Making: Optimal Quoting☆14Updated 2 years ago
- Notes on Advances in Financial Machine Learning☆84Updated 7 years ago
- AI based alpha research for trading☆50Updated 3 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆97Updated 2 years ago
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆57Updated 5 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆38Updated 5 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆50Updated 3 years ago
- ☆24Updated 5 years ago
- Trend Prediction for High Frequency Trading☆42Updated 3 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆102Updated 6 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 3 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 7 years ago
- Repo for HFT project in CMF☆29Updated 3 years ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆57Updated 4 years ago
- Research Repo (Archive)☆74Updated 5 years ago