chrischia06 / AlgoTradingSimulatedPathsLinks
Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB
☆36Updated 4 years ago
Alternatives and similar repositories for AlgoTradingSimulatedPaths
Users that are interested in AlgoTradingSimulatedPaths are comparing it to the libraries listed below
Sorting:
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- ☆117Updated 7 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆72Updated 5 years ago
- Volume-Synchronized Probability of Informed Trading☆113Updated 11 years ago
- Research Repo (Archive)☆75Updated 4 years ago
- To classify trades into buyer- and seller-initiated.☆149Updated 2 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
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆68Updated last year
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Order Imbalance Strategy in High Frequency Trading☆139Updated 7 years ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆105Updated 6 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆95Updated 4 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆66Updated 5 years ago
- Example of order book modeling.☆57Updated 6 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Notes on Advances in Financial Machine Learning☆80Updated 6 years ago
- CS7641 Team project☆96Updated 5 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆92Updated last year
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆89Updated 2 years ago
- Pair Trading Strategy using Machine Learning written in Python☆121Updated 3 years ago
- Estimation of the lead-lag parameter from non-synchronous data.☆132Updated 5 months ago
- ☆52Updated 4 years ago
- Package to build risk model for factor pricing model☆28Updated last year
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆21Updated 6 years ago
- ☆73Updated 4 years ago
- These are trading results and arbitrage models from Southern China Center for Statistical Science (SC2S2), Sun Yat-sen University☆20Updated 6 years ago
- Backtest result archive for Momentum Trading Strategies☆63Updated 6 years ago