gaelwjl / ML_Optimal_TradingLinks
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
Sorting:
- Market making strategies and scientific papers☆13Updated last year
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- ☆12Updated 4 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 4 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆12Updated 2 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆18Updated 2 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12Updated 4 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
- ☆19Updated 5 years ago
- SABR Implied volatility asymptotics☆22Updated 5 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆34Updated 5 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Derivation of analytical expressions of optimal quotes for market making in options.☆19Updated 3 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆66Updated last year
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- High Frequency Jump Prediction Project☆37Updated 5 years ago
- Stock risk premium prediction via FM/ EXT/ GBDT/ XGB/LBGM. Mengxuan Chen's graduation thesis at WHU.☆14Updated 5 years ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆22Updated last year
- ☆24Updated 5 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆65Updated 2 years ago
- Building a High Frequency Trading Engine with Neural Networks☆12Updated 7 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 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
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated last year
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Apply LASSO in High-Frequency-Trading☆9Updated 6 years ago
- Trend Prediction for High Frequency Trading☆42Updated 2 years ago
- ☆14Updated 6 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago