alipbcs / TSMOMLinks
Time-Series Momentum Strategies
☆12Updated 7 years ago
Alternatives and similar repositories for TSMOM
Users that are interested in TSMOM are comparing it to the libraries listed below
Sorting:
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆24Updated 3 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12Updated 4 years ago
- We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cos…☆10Updated 5 years ago
- ☆11Updated 5 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆19Updated 2 years ago
- Building a High Frequency Trading Engine with Neural Networks☆12Updated 7 years ago
- ☆19Updated 8 years ago
- Modelling for price change forecast using High-frequency Trading limit order book dynamics using ML algorithms☆27Updated 7 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆26Updated 5 years ago
- Market making strategies and scientific papers☆14Updated 2 years ago
- LeonardoBerti00 / Data-Normalization-for-Bilinear-Structures-in-High-Frequency-Financial-Time-series-BiN-TABLPytorch implementation of BIN-TABL from Data Normalization for Bilinear Structures in HF Financial Time-series☆12Updated last year
- Quantitative Finance & Algorithmic Trading in Python course of Udemy☆11Updated 8 years ago
- Pytorch implementation of deep learning models for financial time series forecasting using LOB☆19Updated 2 years ago
- Pytorch implementation of DeepLOB-ATT and DeepLOB-Seq2Seq from Multi Horizon Forecasting for Limit Order Books☆13Updated 2 years ago
- Channel break out strategy for High Frequency Trading.☆14Updated 7 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆14Updated 2 years ago
- This repo contains my reimplementation and improvement of DeepLOB model.☆32Updated 4 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆28Updated 4 years ago
- Implementation of code snippets and exercises in the book Machine Learning for Asset Managers written by Prof. Marcos López de Prado.☆16Updated 5 years ago
- Alpaca-based Order Book Inbalace Algorithm.☆12Updated 5 years ago
- A Deep Reinforcement Learning model for high volume and frequency Forex Portfolio Management☆12Updated 2 years ago
- Intraday momentum strategy that buys (sells) leveraged ETFs late in the trading session following a significant intraday gain (loss) and …☆27Updated last year
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆36Updated 5 years ago
- Implementation of the paper <Model-based Reinforcement Learning for Predictions and Control for Limit Order Books (Wei et al., J.P. Morga…☆12Updated 2 years ago
- ☆19Updated 5 years ago
- Create a mid-price classifier for limit order books using a CNN and LSTM☆15Updated 5 years ago
- Vpin caculation and backtesting☆14Updated 6 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- Deep learning models for high-frequency financial data (limited order book)☆19Updated 6 years ago
- Advancing in Financial Machine Learning☆16Updated 5 years ago