felixenzogarofalo / AFML_in_catalyst
Implementing features from "Advances in Financial Machine Learning" by Marcos López del Prado in a financial algorithm using Enigma Catalyst.
☆10Updated 4 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
- Exercises in 'Advances in Financial Machine Learning' by Lopez de Prado☆3Updated last year
- Advancing in Financial Machine Learning☆16Updated 4 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆13Updated 3 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
- ☆21Updated 4 years ago
- FactorLab is a python library that enables the discovery and analysis of alpha and risk factors used in the investment algorithm developm…☆19Updated last month
- Market making strategies and scientific papers☆13Updated last year
- Apply LASSO in High-Frequency-Trading☆9Updated 5 years ago
- The goal of the project is to build algorithmic trading system.☆26Updated 4 years ago
- Develop about 200 alpha factors from securities report etc, Grid Search/Random Search/Particle Swarm Optimization to improve factors perf…☆19Updated 6 years ago
- Trend Prediction for High Frequency Trading☆37Updated 2 years ago
- Channel break out strategy for High Frequency Trading.☆13Updated 6 years ago
- OpenAI Gym Environment for Low-Latency Trading☆18Updated 6 years ago
- Building a High Frequency Trading Engine with Neural Networks☆12Updated 6 years ago
- My first high-frequency trading strategy using machine learning☆16Updated 2 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆32Updated 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.☆18Updated 5 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆16Updated 2 years ago
- ☆21Updated 5 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆27Updated 3 years ago
- A financial trading method using machine learning.☆58Updated last year
- Vpin caculation and backtesting