git-kevinxuhuili / KalmaN-Filter-Based-Pairs-Trading-Strategy-with-HMMLinks
A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading
☆18Updated 4 years ago
Alternatives and similar repositories for KalmaN-Filter-Based-Pairs-Trading-Strategy-with-HMM
Users that are interested in KalmaN-Filter-Based-Pairs-Trading-Strategy-with-HMM are comparing it to the libraries listed below
Sorting:
- ☆24Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆66Updated 2 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 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
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆66Updated last year
- Derivation of analytical expressions of optimal quotes for market making in options.☆20Updated 3 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- Market making strategies and scientific papers☆13Updated last year
- Backtest result archive for Momentum Trading Strategies☆61Updated 6 years ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Updated 3 years ago
- ☆25Updated 6 years ago
- Mean Reversion Trading Strategy☆26Updated 4 years ago
- ☆31Updated 2 years ago
- ☆42Updated 2 years ago
- ☆19Updated 5 years ago
- FactorLab is a python library that enables the discovery and analysis of alpha and risk factors used in the investment algorithm developm…☆4Updated 3 weeks ago
- ☆51Updated 4 years ago
- Option Strategy for Futures☆14Updated 5 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆47Updated 4 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆12Updated 5 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆29Updated 4 years ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆38Updated last year
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆55Updated 4 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆11Updated 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