dwadh / tprf_pyLinks
Python implementation of the Three Pass Regression Filter
☆14Updated 5 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:
- ☆19Updated 9 years ago
- A modification of traditional random forest for time-series forecasting☆12Updated 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☆13Updated last year
- Markov decision processes under model uncertainty☆17Updated 3 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆14Updated 3 years ago
- Machine learning methods for identifing investment factors☆19Updated 4 years ago
- Pytorch implementation of DeepLOB-ATT and DeepLOB-Seq2Seq from Multi Horizon Forecasting for Limit Order Books☆14Updated 2 years ago
- This notebook presents an example of the equal risk pricing framework with deep hedging from my paper Carbonneau, A. and Godin, F. (2020)…☆15Updated 4 years ago
- Unofficial PyTorch implementation of FactorVAE☆21Updated 2 years ago
- Stock Price Prediction☆19Updated last year
- OCET, torch, transformers, DeepLOB,limit-order-books☆10Updated 3 years ago
- Mean-Variance Optimization using DL (pytorch)☆32Updated 3 years ago
- Testing trading signals of commodity futures☆17Updated 5 years ago
- A repository for portfolio allocation based on embedding data representation☆12Updated 11 months ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆17Updated 3 years ago
- Code to support my Master's thesis☆22Updated 2 years ago
- Pytorch implementation of deep learning models for financial time series forecasting using LOB☆20Updated 2 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 3 years ago
- Quantitative Finance & Algorithmic Trading in Python course of Udemy☆12Updated 8 years ago
- Portfolio Risk Assessment leveraging Probabilistic Deep Neural Networks☆21Updated 8 months 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 …☆17Updated 6 years ago
- 基于机器学习的多因子研究框架☆14Updated 5 years ago
- ☆15Updated 2 years ago
- This repository contains dataset for paper FedNLP: An interpretable NLP System to Decode Federal Reserve Communications, published in SIG…☆14Updated last year
- A machine learning pipeline that ingest and process a 20-year historical stock price dataset and try to predict future prices using Light…☆15Updated 5 years ago
- Python Implementation of the Paper "Attention based dynamic graph neural network for asset pricing" -Published in Global Finance Journal☆12Updated 2 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆39Updated 5 years ago
- Multi Task Learning Time Series Momentum☆24Updated last year
- ☆55Updated 4 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆17Updated 7 years ago