anthonyng2 / Time-Series-Momentum
☆17Updated 8 years ago
Alternatives and similar repositories for Time-Series-Momentum:
Users that are interested in Time-Series-Momentum are comparing it to the libraries listed below
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- Implements different approaches to tactical and strategic asset allocation☆29Updated 3 weeks ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆21Updated last year
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆24Updated 6 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆23Updated last year
- ☆19Updated 3 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated 8 months ago
- Backtest result archive for Momentum Trading Strategies☆47Updated 5 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
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆13Updated 8 months ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆36Updated 3 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated 11 months ago
- Package to build risk model for factor pricing model☆24Updated 5 months ago
- A low frequency statistical arbitrage strategy☆19Updated 5 years ago
- CQF Project based on introducing Pair Trading for Energy Stocks with VAR (Vector Autoregression), Engle Granger Approach, Backtesting, Op…☆14Updated 5 years ago
- ☆19Updated 4 years ago
- ☆48Updated 7 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆12Updated 2 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆14Updated 3 years ago
- Implementation of a variety of Value-at-Risk backtests☆35Updated 5 years ago
- ☆39Updated 3 years ago
- A financial trading method using machine learning.☆59Updated last year
- Testing trading signals of commodity futures☆15Updated 4 years ago
- ☆24Updated 6 years ago
- Project completed during my studies at BGSE together with Travis Dunlop, Matthew Keys and Jordi Llorens☆17Updated 6 years ago
- Market making strategies and scientific papers☆13Updated last year