david-alber / Pairs-Trading-as-application-to-the-Ornstein-Uhlenbeck-ProcessLinks
A model simulation shows how pairs trading could be used for two S&P500 traded stocks. It proofs that the strategy is successful on real data.
☆26Updated 5 years ago
Alternatives and similar repositories for Pairs-Trading-as-application-to-the-Ornstein-Uhlenbeck-Process
Users that are interested in Pairs-Trading-as-application-to-the-Ornstein-Uhlenbeck-Process are comparing it to the libraries listed below
Sorting:
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- Backtest result archive for Momentum Trading Strategies☆64Updated 6 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- ☆36Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆32Updated 4 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆79Updated 7 years ago
- ☆118Updated 7 years ago
- Example of order book modeling.☆58Updated 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
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆67Updated 2 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆67Updated 5 years ago
- High Frequency Market Making: Optimal Quoting☆13Updated 2 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆104Updated 6 years ago
- Volume-Synchronized Probability of Informed Trading☆113Updated 11 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
- Calibrates microprice model to BitMEX quote data☆61Updated 4 years ago
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆54Updated 5 years ago
- AS model performance versus trivial delta for market-makers☆20Updated 3 years ago
- High Frequency Trading Strategies☆48Updated 8 years ago
- CS7641 Team project☆96Updated 5 years ago
- Optimal high-frequency market making strategy☆24Updated 10 months ago
- Research Repo (Archive)☆75Updated 4 years ago
- ☆24Updated 5 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆54Updated 4 years ago
- algo trading backtesting on BitMEX☆82Updated last year
- ☆52Updated 4 years ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- Repo for HFT project in CMF☆29Updated 2 years ago
- #易经 #道家 #十二生肖 #姓氏堂号子嗣贞节牌坊 #天文历法 #张灯结彩 #农历 #夜观星象 #廿四节气 #算卜 #紫微斗数 #十二时辰 #生辰八字 #命运 #风水 《始祖赢政之子赢家黄氏江夏堂联富•秦谏——大秦赋》 万般皆下品,唯有读书高。🚩🇨🇳🏹🦔中科红旗,…☆50Updated 5 months ago
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆63Updated 3 years ago