deanjohnr / macrotrendfollowLinks
Momentum and position based trading strategy analysis
☆11Updated 8 years ago
Alternatives and similar repositories for macrotrendfollow
Users that are interested in macrotrendfollow are comparing it to the libraries listed below
Sorting:
- High Frequency Trading (HFT) done using the Alpaca Trade API and Python.☆25Updated 6 years ago
- ☆25Updated 7 years ago
- quantitative asset allocation strategy☆32Updated 8 months ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆15Updated 5 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆67Updated 2 years ago
- Short-term momentum trading strategy implemented for the lecture "Systematic risk premia strategies traded at hedge funds" at University …☆43Updated 3 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆66Updated 5 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆105Updated 6 years ago
- Dispersion Trading using Options☆33Updated 8 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆16Updated 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
- ☆65Updated 2 years ago
- keywords - Kmeans Clustering, Tsne, PCA, Indian Stocks, Johansen test☆32Updated 7 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆26Updated 3 years ago
- Capital Asset Pricing Model implementation in python to analyze stock risk and return.☆26Updated 3 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 years ago
- ☆16Updated 4 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆40Updated 7 years ago
- This is the final project of Statistical Arbitrage course and it aims to apply pairs trading in high frequency data to realize auto-tradi…☆19Updated 6 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- Quantopian Pairs Trading algorithm implementation.☆64Updated 8 years ago
- ☆25Updated 7 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆68Updated last year
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆13Updated 7 years ago
- Implements different approaches to tactical and strategic asset allocation☆39Updated 8 months ago
- Built a smart beta portfolio and compared it to a benchmark index by calculating the tracking error. Built a portfolio using quadratic pr…☆68Updated 6 years ago
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆13Updated 3 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year