anthonyli01 / Statistical-Arbitrage-Pairs-Trading-Strategy
On-going project: I will be implementing a combination of pairs trading strategies in attempt to see which type performs best after backtesting. The main ideas involve cointegration, kalman filter, copulas, and machine learning approaches. Since it is a market-neutral strategy, we will analyse the performance on its alpha rather than sharpe rati…
☆11Updated 9 months ago
Alternatives and similar repositories for Statistical-Arbitrage-Pairs-Trading-Strategy:
Users that are interested in Statistical-Arbitrage-Pairs-Trading-Strategy are comparing it to the libraries listed below
- A pairs trade is a market neutral trading strategy enabling traders to profit from virtually any market conditions. This strategy is cate…☆23Updated 3 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆22Updated 3 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆13Updated 3 years ago
- Example of order book modeling.☆56Updated 5 years ago
- Substantial backtesting of statistical arbitrage pairs trading with crypto-currencies☆22Updated 5 years ago
- Equities Pair Trading/Statistical Arbitrage and Multi-Variable Index Regression☆17Updated last year
- #易经 #道家 #十二生肖 #姓氏堂号子嗣贞节牌坊 #天文历法 #张灯结彩 #农历 #夜观星象 #廿四节气 #算卜 #紫微斗数 #十二时辰 #生辰八字 #命运 #风水 《始祖赢政之子赢家黄氏江夏堂联富•秦谏——大秦赋》 万般皆下品，唯有读书高。🚩🇨🇳🏹🦔中科红旗，…☆46Updated 3 weeks ago
- The notebook with the experiments to replicate and enhance the stock clustering proposed by Han(2022) for alogtrading, with KMeans Optimi…☆14Updated last year
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆12Updated 2 years ago
- A Python system to generate Volume Weighted Average Pricing (VWAP) Model based Long/Short Trading Signal☆17Updated 7 years ago
- Modelling for price change forecast using High-frequency Trading limit order book dynamics using ML algorithms☆25Updated 7 years ago
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆52Updated 4 years ago
- Sample BitMEX Market Making Bot☆27Updated 4 years ago
- OpenAI Gym Environment for Low-Latency Trading☆18Updated 6 years ago
- High Frequency Trading Strategies☆44Updated 7 years ago
- I did this project as one of the parts from a Python test for my Master's degree. The objective was to practice the treatment of financi…☆15Updated 2 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆62Updated last year
- Python API for accessing Lake high frequency tick trades & order book data☆43Updated this week
- High Frequency Jump Prediction Project☆36Updated 4 years ago
- ☆19Updated 4 years ago
- Using reinforcement learning to make markets in the high frequency trading setting.☆15Updated last month
- Mean Reversion Trading Strategy☆25Updated 4 years ago
- ☆17Updated 5 years ago
- Dynamic delta hedging (DDH) is a trading strategy that involves hedging a non-linear position with linear instruments. Linear instruments…☆13Updated last year
- Channel break out strategy for High Frequency Trading.☆14Updated 6 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆60Updated 2 years ago
- My first high-frequency trading strategy using machine learning☆17Updated 2 years ago
- Developing a trend following model using futures☆31Updated last year
- Prototype of delta neutral market making strategy trading the BTCUSD perpetuals on Bybit and Binance.☆19Updated 3 years ago
- Having effective intraday forecast for the level of trading volume is of vital importance to algorithmic trading and portfolio management…☆45Updated 4 years ago