jktis / Trade-Classification-Algorithms
To classify trades into buyer- and seller-initiated.
☆139Updated 2 years ago
Alternatives and similar repositories for Trade-Classification-Algorithms:
Users that are interested in Trade-Classification-Algorithms are comparing it to the libraries listed below
- A vectorized implementation of py_vollib, that supports numpy arrays and pandas Series and DataFrames.☆131Updated 4 months ago
- CS7641 Team project☆94Updated 4 years ago
- Probability of Backtest Overfitting in Python☆124Updated last year
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆117Updated last year
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆80Updated 2 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)☆123Updated 4 years ago
- Notes on Advances in Financial Machine Learning☆78Updated 6 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆157Updated 2 weeks ago
- Notebooks based on financial machine learning.☆50Updated 4 years ago
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆112Updated 11 months ago
- PortfolioLab is a python library that enables traders to take advantage of the latest portfolio optimisation algorithms used by professio…☆165Updated 3 years ago
- Research Repo (Archive)☆73Updated 4 years ago
- ☆112Updated 7 years ago
- ☆82Updated 2 years ago
- Videos, slides, and code made available by speakers of the 2021's AlgoTrading Summit☆124Updated 3 years ago
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆124Updated 5 years ago
- trend / momentum and other patterns in financial timeseries☆262Updated 3 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.☆153Updated 10 months ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆132Updated 6 years ago
- A collection of homeworks of market microstructure models.☆231Updated 6 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆71Updated 4 years ago
- Pair Trading Strategy using Machine Learning written in Python☆116Updated 2 years ago
- Calculates estimate of market maker gamma exposure derived from S&P 500 index options☆129Updated 5 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆90Updated 4 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆75Updated last year
- Order Imbalance Strategy in High Frequency Trading☆129Updated 6 years ago
- Volume-Synchronized Probability of Informed Trading☆111Updated 11 years ago
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆245Updated 2 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆85Updated 8 months ago