jheusser / hawkesLinks
Hawkes Process Estimation
☆52Updated 11 years ago
Alternatives and similar repositories for hawkes
Users that are interested in hawkes are comparing it to the libraries listed below
Sorting:
- Using Q-learning to better navigate orderbooks.☆23Updated 7 years ago
- L1 Trend Filtering☆19Updated last year
- Implementations of the graphical lasso method to estimation of covariance matrices in finance.☆36Updated 13 years ago
- Notes for Active Portfolio Management, by Grinold and Kahn☆47Updated 9 years ago
- Code for researching and backtesting pairs trading☆24Updated 15 years ago
- Algorithmic Trading Challenge implemented as part of the term project for Foundations of Machine Learning at NYU Courant in Fall 2016 (ht…☆27Updated 4 years ago
- Event-driven Algorithmic Trading For Python☆25Updated 6 years ago
- Machine Learning Algo using Knearest Neighbors model on VXX trading strategy.☆15Updated 9 years ago
- Jupyter (IPython) notebooks for exploring mixture models☆37Updated 8 years ago
- finance☆43Updated 8 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- Backtesting tool on tick data☆11Updated 8 years ago
- Machine Learning for Financial Market Prediction☆59Updated 6 years ago
- Regime-Switching Model☆19Updated 8 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆28Updated 5 years ago
- Fuzzy Moving Average System with Genetic Algorithm Optimisation for Trading Crude Palm Oil Futures☆26Updated 7 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆30Updated 5 years ago
- This module allows you to easily create order-based financial markets, add agents with various strategies, and evaluate the actions of ag…☆30Updated 3 years ago
- Financial Time Series Price forecast using Keras for Tensorflow. RNN LSTM☆48Updated 8 years ago
- ☆27Updated 6 years ago
- Necessary code to reproduce the experiment in "Mitigating Overfitting with Generative Adversarial Networks"☆37Updated 2 years ago
- ☆36Updated 8 years ago
- Python library with C++ extensions for simulation, compensator, log-likelihood and intensity function computation for a multivariate Hawk…☆10Updated 8 years ago
- Vpin caculation and backtesting☆14Updated 6 years ago
- Code for various data snooping tests on financial time series.☆22Updated 10 years ago
- Hawkes with Latency☆20Updated 4 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆19Updated 3 years ago
- a new simulator for statistical arbitrage☆15Updated 10 years ago
- A Python toolkit for high-frequency trade research.☆42Updated 7 years ago
- Reinforcement learning environment for trading☆15Updated 7 years ago