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:
- Python library with C++ extensions for simulation, compensator, log-likelihood and intensity function computation for a multivariate Hawk…☆10Updated 7 years ago
- Using Q-learning to better navigate orderbooks.☆22Updated 7 years ago
- fast parameter estimation for simpler Hawkes processes☆70Updated 3 years ago
- L1 Trend Filtering☆19Updated last year
- Backtesting tool on tick data☆11Updated 8 years ago
- Machine Learning Algo using Knearest Neighbors model on VXX trading strategy.☆15Updated 9 years ago
- Hawkes with Latency☆20Updated 4 years ago
- Jupyter (IPython) notebooks for exploring mixture models☆36Updated 8 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆27Updated 5 years ago
- Implementations of the graphical lasso method to estimation of covariance matrices in finance.☆36Updated 12 years ago
- CVXPY Portfolio Optimization Sample☆46Updated 8 years ago
- Code for various data snooping tests on financial time series.☆18Updated 10 years ago
- Predictive analysis of the OLMAR algorithm☆13Updated 8 years ago
- Simulating the combination of multiarm bandits with the Kelly criterion for portfolio allocation☆27Updated last year
- Statistical arbitrage simulation, modeling and backtesting with Python.☆57Updated 8 years ago
- [Python Package] Code from 'The Elements of Hawkes Processes' Book☆28Updated last year
- Automatically generate Support & Resistance Lines on charts☆20Updated 9 years ago
- Python framework for inference in Hawkes processes.☆241Updated last year
- A Python toolkit for high-frequency trade research.☆40Updated 6 years ago
- ☆11Updated 7 years ago
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆40Updated 4 months ago
- Code for researching and backtesting pairs trading☆24Updated 15 years ago
- Event-driven Algorithmic Trading For Python☆25Updated 6 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 2 years ago
- Unsupervised Learning to Market Behavior Forecasting Example☆42Updated 5 years ago
- a python package for simulation and inference of Hawkes processes.☆66Updated 4 years ago
- ☆27Updated 6 years ago
- Devise: An Alternative Exchange Containing Assets Engineered To Help Fund Managers Hunt Alpha☆27Updated 6 years ago
- a new simulator for statistical arbitrage☆15Updated 9 years ago
- Financial Time Series Price forecast using Keras for Tensorflow. RNN LSTM☆47Updated 8 years ago