bayesiancointegration / python
Python code for Bayesian Conditional Cointegration
☆17Updated 7 years ago
Alternatives and similar repositories for python:
Users that are interested in python are comparing it to the libraries listed below
- ☆17Updated 4 years ago
- Advancing in Financial Machine Learning☆16Updated 4 years ago
- By means of stochastic volatility models☆42Updated 4 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆61Updated 2 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆27Updated 4 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 7 years ago
- Dynamic lead/lag inference for time series☆15Updated 5 years ago
- A research project to study the gamma exposure of market-makers in Bitcoin option markets.☆14Updated 4 years ago
- ☆13Updated last year
- DATA-AIDED PAIRS TRADING VIA LEARNED KALMAN WITH BOLLINGER BANDS☆32Updated 2 years ago
- finance☆43Updated 7 years ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆36Updated last year
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆39Updated 4 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 3 months ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 8 months ago
- Portfolio optimization with cvxopt☆37Updated this week
- ☆19Updated 4 years ago
- An optimal trading trajectory solver.☆26Updated 2 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆14Updated 3 years ago
- FactorLab is a python library that enables the discovery and analysis of alpha and risk factors used in the investment algorithm developm…☆19Updated 2 weeks ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- Library for simulation and analysis of vanilla and exotic options☆31Updated 4 years ago
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆32Updated 4 years ago
- Exercises in 'Advances in Financial Machine Learning' by Lopez de Prado☆3Updated last year
- HAR-RV Model For Realized Volatility☆27Updated 8 years ago
- A framework for historical volatility estimation and analysis.☆34Updated 4 years ago
- Custom Loss functions for asset return prediction with deep learning regression☆34Updated 2 years ago
- Some codes used for the numerical examples proposed in https://hal.archives-ouvertes.fr/hal-01514987v2 and https://arxiv.org/abs/1705.014…☆19Updated 5 years ago
- Construction of local volatility surface by using SABR☆27Updated 7 years ago
- ☆24Updated 9 years ago