hyperstripe50 / fractal-market-analysis
We are hard pressed to find a concrete implementation of both Benoit Mandelbrot's "A Multifractal Model of Asset Returns" and Edgar E. Peters' "Fractal Market Analysis" so, with apologies to the Authors, we attempt to fill this vacancy.
☆49Updated 2 years ago
Related projects: ⓘ
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆34Updated 4 months ago
- ☆34Updated 3 years ago
- A financial trading method using machine learning.☆56Updated last year
- Various python scripts to introduce mean reversion concepts.☆21Updated 6 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆27Updated 4 years ago
- ☆51Updated last year
- Backtest result archive for Momentum Trading Strategies☆43Updated 5 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆73Updated last year
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆71Updated 6 years ago
- detecting regime of financial market☆27Updated last year
- Collection of indicators that I used in my strategies.☆48Updated last year
- High Frequency Trading (HFT) done using the Alpaca Trade API and Python.☆25Updated 5 years ago
- Time Series Prediction of Volume in LOB☆52Updated 5 months ago
- ☆16Updated 4 years ago
- Research Repo (Archive)☆69Updated 3 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆58Updated 4 years ago
- ☆23Updated 6 years ago
- Notebooks based on financial machine learning.☆43Updated 4 years ago
- ☆23Updated this week
- Implementation of Lo and MacKinlay's statistical tests from A Non Random Walk Down Wall Street☆13Updated last year
- Mean Reversion Trading Strategy☆17Updated 3 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆49Updated 6 months ago
- ☆10Updated this week
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆24Updated 4 months ago
- Research on options using machine learning algorithms trained on historical data.☆17Updated 3 months ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆46Updated 3 years ago
- ☆26Updated 2 years ago
- Generate various Alternative Bars both historically and at real-time.☆34Updated 2 years ago
- Pair Trading Strategy using Machine Learning written in Python☆109Updated 2 years ago
- Find trading pairs with Machine Learning☆39Updated 3 years ago