gaelwjl / ML_Optimal_Trading
Collection of numerical methods for high frequency data, in Python notebooks
☆13Updated 4 years ago
Alternatives and similar repositories for ML_Optimal_Trading:
Users that are interested in ML_Optimal_Trading are comparing it to the libraries listed below
- Market making strategies and scientific papers☆13Updated last year
- ☆19Updated 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
- Exploring Optimal Order Execution in Simulated Limit Order Books☆18Updated 2 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆12Updated 2 years ago
- ☆21Updated 5 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 4 years ago
- Apply LASSO in High-Frequency-Trading☆9Updated 5 years ago
- ☆13Updated 6 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆17Updated last year
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- High Frequency Jump Prediction Project☆36Updated 4 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆27Updated 5 years ago
- ☆12Updated 4 years ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12Updated 3 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- My first high-frequency trading strategy using machine learning☆17Updated 2 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆33Updated 5 years ago
- ☆49Updated 4 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- AS model performance versus trivial delta for market-makers☆18Updated 3 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago
- Exercises in 'Advances in Financial Machine Learning' by Lopez de Prado☆3Updated 2 years ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆37Updated last year
- ☆13Updated 2 years ago