gregzanotti / dlsa-public
Deep Learning Statistical Arbitrage
☆216Updated 2 years ago
Alternatives and similar repositories for dlsa-public:
Users that are interested in dlsa-public are comparing it to the libraries listed below
- ☆196Updated last year
- experiments with pair trading☆280Updated 3 months ago
- A collection of homeworks of market microstructure models.☆222Updated 6 years ago
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆242Updated 2 years ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆147Updated 9 months ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆116Updated 4 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆153Updated last month
- ☆69Updated 4 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆181Updated last year
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆154Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆116Updated last year
- We implement the paper: Deep Learning Volatility☆185Updated 4 years ago
- To classify trades into buyer- and seller-initiated.☆137Updated 2 years ago
- Exercises of the book: Advances in Financial Machine Learning by Marcos Lopez de Prado☆207Updated 3 years ago
- An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implemen…☆352Updated 6 years ago
- GARCH and Multivariate LSTM forecasting models for Bitcoin realized volatility with potential applications in crypto options trading, hed…☆246Updated 3 years ago
- ☆209Updated 7 years ago
- Notes on Advances in Financial Machine Learning☆76Updated 6 years ago
- PortfolioLab is a python library that enables traders to take advantage of the latest portfolio optimisation algorithms used by professio…☆161Updated 3 years ago
- CS7641 Team project☆93Updated 4 years ago
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - Técnico Li…☆157Updated 5 years ago
- High-frequency statistical arbitrage☆170Updated last year
- Probability of Backtest Overfitting in Python☆121Updated last year
- Instrumented Principal Components Analysis☆216Updated 2 years ago
- A Python implementation of the rough Bergomi model.☆119Updated 6 years ago
- Implemented some mathematical processings used in the Barra risk model☆25Updated last year
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆124Updated 3 years ago
- ☆143Updated last year
- three stochastic volatility model: Heston, SABR, SVI☆85Updated 6 years ago
- ☆378Updated 4 years ago