felixenzogarofalo / AFML_in_catalystLinks
Implementing features from "Advances in Financial Machine Learning" by Marcos López del Prado in a financial algorithm using Enigma Catalyst.
☆10Updated 5 years ago
Alternatives and similar repositories for AFML_in_catalyst
Users that are interested in AFML_in_catalyst are comparing it to the libraries listed below
Sorting:
- Advancing in Financial Machine Learning☆16Updated 5 years ago
- Create structured financial data in the form of tick, volume, and dollar bars from unstructured tick data. From Marcos Lopez de Prado's A…☆11Updated 4 years ago
- The goal of the project is to build algorithmic trading system.☆27Updated 4 years ago
- Machine learning approach to high frequency trading, MLP & RNN used☆22Updated 9 years ago
- Building a High Frequency Trading Engine with Neural Networks☆12Updated 7 years ago
- Market making strategies and scientific papers☆13Updated last year
- OpenAI Gym Environment for Low-Latency Trading☆18Updated 7 years ago
- Create a mid-price classifier for limit order books using a CNN and LSTM☆14Updated 5 years ago
- High Frequency Trading bot for 2019 Traders at MIT, HFT Case. I placed 4th in the HFT competition (2nd overall) out of 120.☆19Updated 5 years ago
- Channel break out strategy for High Frequency Trading.☆14Updated 7 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆19Updated 2 years ago
- ☆22Updated 5 years ago
- Trend Prediction for High Frequency Trading☆42Updated 2 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆29Updated 5 years ago
- Modelling for price change forecast using High-frequency Trading limit order book dynamics using ML algorithms☆26Updated 7 years ago
- Limit Orderbook CNN model implementation for ETH-BTC (buy-low-sell-high indicator)☆17Updated 2 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
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- tools for alpha research☆23Updated 7 years ago
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆34Updated 4 years ago
- Vpin caculation and backtesting☆14Updated 5 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆34Updated 5 years ago
- Code implementations of my studies on the book Advances in Financial Machine Learning☆12Updated 5 years ago
- Package based on the work of Dr Marcos Lopez de Prado regarding his research with respect to Advances in Financial Machine Learning☆33Updated 5 years ago
- Order Imbalance Trading Simulation R Code☆17Updated 5 years ago
- In the high-frequency era of trading, orders of stocks can be executed under a millsecond. The information about the thousands of orders …☆10Updated 9 years ago
- Regime-Switching Model☆18Updated 7 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- Creating DRL infrastructure for Dynamic Beta with Zipline and Keras☆15Updated 2 years ago
- A Deep Reinforcement Learning neural net for an original Multi-Dimensional Pairs Trading strategy is proposed☆21Updated 6 years ago