chibui191 / bitcoin_volatility_forecasting
GARCH and Multivariate LSTM forecasting models for Bitcoin realized volatility with potential applications in crypto options trading, hedging, portfolio management, and risk management
☆223Updated 3 years ago
Related projects ⓘ
Alternatives and complementary repositories for bitcoin_volatility_forecasting
- experiments with pair trading☆256Updated 2 weeks ago
- CS7641 Team project☆84Updated 4 years ago
- Deep Learning Statistical Arbitrage☆199Updated 2 years ago
- Pair Trading Strategy using Machine Learning written in Python☆113Updated 2 years ago
- An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implemen…☆340Updated 6 years ago
- Solutions for selected exercises from Advances in Financial Machine Learning by Marcos Lopez De Prado☆48Updated 2 years ago
- ☆207Updated 7 years ago
- ☆186Updated last year
- This project involves using a combination of statistics along with financial thoery to demonstrate a popular trading strategy used in equ…☆308Updated 7 months ago
- Feature Engineering and Feature Importance in Machine Learning for Financial Markets☆121Updated 8 months ago
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆231Updated last year
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆106Updated 4 years ago
- Quantitative Investment Strategies (QIS) package implements Python analytics for visualisation of financial data, performance reporting, …☆176Updated this week
- Notes on Advances in Financial Machine Learning☆76Updated 5 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆141Updated 3 weeks ago
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - Técnico Li…☆152Updated 5 years ago
- Performance analysis of predictive (alpha) stock factors☆311Updated last month
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆81Updated 3 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.☆118Updated 5 months ago
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆122Updated 4 years ago
- ☆68Updated 4 years ago
- A collection of homeworks of market microstructure models.☆205Updated 6 years ago
- We tested 3 approaches for Pair Trading: distance, cointegration and reinforcement learning approach.☆258Updated last year
- High-frequency statistical arbitrage☆145Updated last year
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆86Updated 6 months ago
- Exercises of the book: Advances in Financial Machine Learning by Marcos Lopez de Prado☆198Updated 3 years ago
- Source Codes for the Book of Trading Strategies☆162Updated 2 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆97Updated 5 years ago
- Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.☆215Updated this week