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:
- L1 Trend Filtering☆19Updated last year
- Using Q-learning to better navigate orderbooks.☆23Updated 7 years ago
- Code for researching and backtesting pairs trading☆24Updated 15 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- Event-driven Algorithmic Trading For Python☆25Updated 6 years ago
- Notes for Active Portfolio Management, by Grinold and Kahn☆47Updated 9 years ago
- Financial Time Series Price forecast using Keras for Tensorflow. RNN LSTM☆48Updated 8 years ago
- ☆27Updated 6 years ago
- a new simulator for statistical arbitrage☆15Updated 10 years ago
- Implementations of the graphical lasso method to estimation of covariance matrices in finance.☆36Updated 13 years ago
- Machine Learning for Financial Market Prediction☆59Updated 7 years ago
- Jupyter (IPython) notebooks for exploring mixture models☆37Updated 8 years ago
- Probabilistic and Directional Relu Wavenet with forex and economic news data☆27Updated 5 years ago
- Devise: An Alternative Exchange Containing Assets Engineered To Help Fund Managers Hunt Alpha☆27Updated 7 years ago
- Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.☆76Updated 7 years ago
- Regime-Switching Model☆19Updated 8 years ago
- finance☆43Updated 8 years ago
- Machine Learning Algo using Knearest Neighbors model on VXX trading strategy.☆15Updated 9 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆28Updated 5 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆31Updated 5 years ago
- Python code for Bayesian Conditional Cointegration☆18Updated 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
- HAR-RV Model For Realized Volatility☆32Updated 9 years ago
- Quadratic program minimizing risk while maintaining an expected return with the addition of rollover in the foreign exchange market☆12Updated 9 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
- Hawkes with Latency☆20Updated 4 years ago
- Fuzzy Moving Average System with Genetic Algorithm Optimisation for Trading Crude Palm Oil Futures☆26Updated 7 years ago
- A Python framework for R&D of financial investment strategies, and trading them algorithmiclly via Quantopian.com☆51Updated 11 years ago
- Embedding stocks to vectors based on the price history☆64Updated 9 years ago
- Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)☆39Updated 2 years ago