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.
☆27Updated 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:
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Updated 4 years ago
- Backtest result archive for Momentum Trading Strategies☆64Updated 6 years ago
- ☆38Updated 4 years ago
- ☆123Updated 8 years ago
- This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in…☆72Updated 7 years ago
- Calibrates microprice model to BitMEX quote data☆60Updated 4 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆78Updated 7 years ago
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆68Updated 3 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆70Updated last year
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Repo for HFT project in CMF☆27Updated 2 years ago
- CS7641 Team project☆97Updated 5 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆71Updated 2 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆92Updated 2 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆30Updated 7 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆103Updated 6 years ago
- ☆24Updated 5 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆69Updated 5 years ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆57Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 7 years ago
- AS model performance versus trivial delta for market-makers☆21Updated 3 years ago
- Notes on Advances in Financial Machine Learning☆82Updated 7 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
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆74Updated 5 years ago
- algo trading backtesting on BitMEX☆80Updated 2 years ago
- Mean Reversion Trading Strategy☆29Updated 4 years ago
- ☆53Updated 4 years ago
- Baruch MFE 2019 Spring☆44Updated 5 years ago
- Repository for market making ideas☆42Updated last year
- Volume-Synchronized Probability of Informed Trading☆113Updated 12 years ago