dwadh / tprf_pyLinks
Python implementation of the Three Pass Regression Filter
☆14Updated 4 years ago
Alternatives and similar repositories for tprf_py
Users that are interested in tprf_py are comparing it to the libraries listed below
Sorting:
- ☆18Updated 8 years ago
- Article on using deep learning to extract order flow information from the limit order book and forecast directional moves☆11Updated last year
- LeonardoBerti00 / Data-Normalization-for-Bilinear-Structures-in-High-Frequency-Financial-Time-series-BiN-TABLPytorch implementation of BIN-TABL from Data Normalization for Bilinear Structures in HF Financial Time-series☆12Updated 11 months ago
- Testing trading signals of commodity futures☆17Updated 5 years ago
- Code and documents from Econ 690 at Duke☆9Updated 3 years ago
- Pytorch implementation of DeepLOB-ATT and DeepLOB-Seq2Seq from Multi Horizon Forecasting for Limit Order Books☆12Updated 2 years ago
- Markov decision processes under model uncertainty☆16Updated 3 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆12Updated 2 years ago
- Mean-Variance Optimization using DL (pytorch)☆31Updated 3 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆14Updated 2 years ago
- Stock Price Prediction☆18Updated 9 months ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆30Updated 6 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- A repository for portfolio allocation based on embedding data representation☆11Updated 5 months ago
- Unofficial PyTorch implementation of FactorVAE☆19Updated 2 years ago
- The NLP News Sentiment Factor Trading Strategy for a Portfolio of S&P 500 Stocks☆12Updated 5 years ago
- ☆40Updated 4 years ago
- A multi-factor stock selection model based on random forest with an average annualized yield of 33.74% from March 2014 to June 2017 when …☆16Updated 6 years ago
- DeepLOB Implementation on Bitcoin Perpetual Data☆17Updated last year
- Code to support my Master's thesis☆20Updated last year
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated last year
- This repository is for the code of paper "Automated Cryptocurrency Trading Approach Using Ensemble Deep Reinforcement Learning: Learn to …☆17Updated 9 months ago
- A modification of traditional random forest for time-series forecasting☆12Updated last year
- This notebook presents an example of the equal risk pricing framework with deep hedging from my paper Carbonneau, A. and Godin, F. (2020)…☆15Updated 3 years ago
- 基于机器学习的多因子研究框架☆14Updated 5 years ago
- Pytorch implementation of deep learning models for financial time series forecasting using LOB☆14Updated 2 years ago
- DATA-AIDED PAIRS TRADING VIA LEARNED KALMAN WITH BOLLINGER BANDS☆35Updated 2 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆15Updated 7 years ago
- Multi Task Learning Time Series Momentum☆21Updated last year
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆47Updated last year