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
☆249Updated 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
- experiments with pair trading☆283Updated 3 months ago
- Deep Learning Statistical Arbitrage☆218Updated 2 years ago
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - Técnico Li…☆158Updated 5 years ago
- CS7641 Team project☆93Updated 4 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆117Updated 4 years ago
- Exercises of the book: Advances in Financial Machine Learning by Marcos Lopez de Prado☆207Updated 3 years ago
- Notes on Advances in Financial Machine Learning☆77Updated 6 years ago
- An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implemen…☆354Updated 6 years ago
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆243Updated 2 years ago
- Solutions for selected exercises from Advances in Financial Machine Learning by Marcos Lopez De Prado☆54Updated 2 years ago
- ☆211Updated 7 years ago
- Pair Trading Strategy using Machine Learning written in Python☆114Updated 2 years ago
- A collection of homeworks of market microstructure models.☆226Updated 6 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆129Updated 6 years ago
- PortfolioLab is a python library that enables traders to take advantage of the latest portfolio optimisation algorithms used by professio…☆162Updated 3 years ago
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆108Updated 10 months ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆85Updated 4 years ago
- ☆197Updated 2 years ago
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆124Updated 5 years ago
- This project involves using a combination of statistics along with financial thoery to demonstrate a popular trading strategy used in equ…☆371Updated 11 months ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆154Updated this week
- High-frequency statistical arbitrage☆175Updated last year
- Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.☆255Updated 2 weeks ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆149Updated 9 months ago
- ☆71Updated 4 years ago
- trend / momentum and other patterns in financial timeseries☆254Updated 3 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆185Updated last year
- ☆138Updated 2 years ago
- ☆145Updated last year
- ☆286Updated last year