caokyhieu / DELAFO-DeEp-Learning-Approach-for-portFolio-Optimization
☆23Updated 3 years ago
Related projects ⓘ
Alternatives and complementary repositories for DELAFO-DeEp-Learning-Approach-for-portFolio-Optimization
- Mean-Variance Optimization using DL (pytorch)☆27Updated 2 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆106Updated 4 years ago
- Custom Loss functions for asset return prediction with deep learning regression☆34Updated 2 years ago
- Transformers for limit order books☆100Updated 4 years ago
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆30Updated 2 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
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆30Updated 4 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆36Updated last month
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆18Updated 5 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆36Updated last year
- ☆44Updated 3 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆61Updated 8 months ago
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆47Updated last year
- Image Classification for Trading Strategies - Project for Machine Learning Class☆38Updated 3 years ago
- Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB☆35Updated 3 years ago
- Official Implementation of SimStock : Representation Model for Stock Similarities☆69Updated 4 months ago
- Codes for the paper Stock Trading Volume Prediction with Dual-Process Meta-Learning accepted by ECML PKDD 2022☆34Updated 2 years ago
- Codes for the paper 'Clustering Approaches for Global Minimum Variance Portfolio'☆23Updated 2 years ago
- Deep learning for limit order book trading and mid-price movement☆49Updated 4 years ago
- ☆58Updated this week
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆55Updated 3 years ago
- Notes on Advances in Financial Machine Learning☆76Updated 5 years ago
- Package based on the textbooks: Advances in Financial Machine Learning and Machine Learning for Asset Managers, by Marcos Lopez de Prado.☆25Updated 4 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 3 years ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆34Updated last year
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆49Updated 3 years ago
- Limit Order Book data analysis and modeling using LSTM network☆127Updated 5 years ago
- Probabilistic and Directional Relu Wavenet with forex and economic news data☆24Updated 4 years ago
- ☆25Updated last year