jktis / Trade-Classification-AlgorithmsLinks
To classify trades into buyer- and seller-initiated.
☆154Updated 3 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
Sorting:
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆96Updated 2 years ago
- trend / momentum and other patterns in financial timeseries☆274Updated 4 years ago
- Probability of Backtest Overfitting in Python☆128Updated 2 years ago
- PortfolioLab is a python library that enables traders to take advantage of the latest portfolio optimisation algorithms used by professio…☆175Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆123Updated last year
- ☆208Updated 2 years ago
- Calculates estimate of market maker gamma exposure derived from S&P 500 index options☆144Updated 4 months ago
- Notes on Advances in Financial Machine Learning☆82Updated 7 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆74Updated 5 years ago
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆136Updated last year
- Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)☆128Updated 5 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 7 years ago
- Pairs Trading with Machine Learning on Distributed Python Platform☆124Updated 3 years ago
- ☆123Updated 8 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆197Updated 3 months ago
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - Técnico Li…☆171Updated 6 years ago
- A vectorized implementation of py_vollib, that supports numpy arrays and pandas Series and DataFrames.☆144Updated last year
- CS7641 Team project☆97Updated 5 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆135Updated 6 years ago
- Order Imbalance Strategy in High Frequency Trading☆139Updated 7 years ago
- Notebooks based on financial machine learning.☆55Updated 5 years ago
- Research Repo (Archive)☆74Updated 5 years ago
- ☆142Updated 2 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.☆210Updated last year
- Limit Order Book data analysis and modeling using LSTM network☆137Updated 6 years ago
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆264Updated 3 years ago
- experiments with pair trading☆327Updated last year
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆125Updated 5 years ago
- Time Series Prediction of Volume in LOB☆59Updated last year
- Open source TCA (transaction cost analysis) Python library for FX spot☆247Updated last year