anthonyng2 / Time-Series-Momentum
☆16Updated 7 years ago
Related projects ⓘ
Alternatives and complementary repositories for Time-Series-Momentum
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆22Updated last year
- Deep Reinforcement Learning Framework for Factor Investing☆21Updated last year
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆34Updated 6 months ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆21Updated last year
- Implements different approaches to tactical and strategic asset allocation☆26Updated last year
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- A financial trading method using machine learning.☆58Updated last year
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆23Updated 6 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆11Updated last year
- CQF Project based on introducing Pair Trading for Energy Stocks with VAR (Vector Autoregression), Engle Granger Approach, Backtesting, Op…☆14Updated 5 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆28Updated 4 years ago
- ☆10Updated 3 years ago
- Testing trading signals of commodity futures☆14Updated 4 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 6 years ago
- Backtest result archive for Momentum Trading Strategies☆46Updated 5 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 2 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆40Updated 6 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆14Updated 3 years ago
- ☆17Updated 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…☆12Updated 3 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆41Updated 2 years ago
- ☆46Updated 7 years ago
- Python Package: Fitting and Forecasting the yield curve☆34Updated 3 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆24Updated 6 months ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆36Updated 4 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆30Updated 9 months ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆28Updated 5 years ago
- Backtesting a simple Buy Low Sell High Strategy☆9Updated 2 years ago