ftvision / quant_trading_echan_book
Notes for the Book Quantitative Trading by Ernie Chan
☆46Updated 7 years ago
Alternatives and similar repositories for quant_trading_echan_book:
Users that are interested in quant_trading_echan_book are comparing it to the libraries listed below
- ☆58Updated 2 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆129Updated 6 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆70Updated 4 years ago
- CS7641 Team project☆93Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆117Updated last year
- Baruch MFE 2019 Spring☆39Updated 4 years ago
- Pair Trading Strategy using Machine Learning written in Python☆114Updated 2 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆101Updated 6 years ago
- Code and data for my blogs☆92Updated 4 years ago
- ☆211Updated 7 years ago
- Notes on Advances in Financial Machine Learning☆77Updated 6 years ago
- In this repository, an event-driven backtester is implemented based on QuantStart articles. The backtester is programmed in Python featur…☆61Updated 3 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆85Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆79Updated 2 years ago
- ☆112Updated 7 years ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆77Updated 7 months ago
- ☆42Updated 5 years ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- Videos, slides, and code made available by speakers of the 2021's AlgoTrading Summit☆124Updated 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 11 months ago
- Backtest result archive for Momentum Trading Strategies☆52Updated 6 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆65Updated 5 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- quantitative - Quantitative finance back testing library☆63Updated 6 years ago
- Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)☆123Updated 4 years ago
- ☆41Updated 2 years ago
- Official Repository☆123Updated 3 years ago
- Trading Evolved book code☆64Updated 4 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆154Updated this week