chibui191 / bitcoin_volatility_forecastingLinks
GARCH and Multivariate LSTM forecasting models for Bitcoin realized volatility with potential applications in crypto options trading, hedging, portfolio management, and risk management
☆272Updated 3 years ago
Alternatives and similar repositories for bitcoin_volatility_forecasting
Users that are interested in bitcoin_volatility_forecasting are comparing it to the libraries listed below
Sorting:
- experiments with pair trading☆313Updated 8 months ago
- CS7641 Team project☆96Updated 5 years ago
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - Técnico Li…☆167Updated 5 years ago
- Deep Learning Statistical Arbitrage☆240Updated 2 years ago
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆253Updated 2 years ago
- ☆214Updated 7 years ago
- Solutions for selected exercises from Advances in Financial Machine Learning by Marcos Lopez De Prado☆67Updated 2 years ago
- Notes on Advances in Financial Machine Learning☆80Updated 6 years ago
- High-frequency statistical arbitrage☆215Updated 2 years ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆183Updated last year
- Pair Trading Strategy using Machine Learning written in Python☆120Updated 3 years ago
- Exercises of the book: Advances in Financial Machine Learning by Marcos Lopez de Prado☆213Updated 4 years ago
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆124Updated last year
- ☆203Updated 2 years ago
- A collection of homeworks of market microstructure models.☆253Updated 7 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆81Updated 3 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆133Updated 6 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆71Updated 5 years ago
- Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.☆265Updated last week
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆125Updated 5 years ago
- This includes a notebook on how to implement Quantitative Strategies, specifically the Pairs Trading Algorithm.☆174Updated 2 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆124Updated 5 years ago
- ☆331Updated 2 years ago
- To classify trades into buyer- and seller-initiated.☆148Updated 2 years ago
- We tested 3 approaches for Pair Trading: distance, cointegration and reinforcement learning approach.☆265Updated 2 years ago
- Feature Engineering and Feature Importance in Machine Learning for Financial Markets☆187Updated last year
- trend / momentum and other patterns in financial timeseries☆275Updated 4 years ago
- FinML: A Practical Machine Learning Framework for Dynamic Stock Selection☆150Updated last year
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆216Updated 2 years ago
- ☆74Updated 4 years ago