juandixonformvp / kalman_filter
Machine Learning Project, stock pairs trading using Kalman Filter
☆8Updated 5 years ago
Related projects: ⓘ
- Trading Strategy on S&P500 with different method (Linear Regression, XGBOOST, LSTM, HMM☆10Updated 4 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆10Updated last year
- Modelling for price change forecast using High-frequency Trading limit order book dynamics using ML algorithms☆24Updated 6 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆24Updated 3 years ago
- ☆15Updated 2 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆11Updated 3 years ago
- Market making strategies and scientific papers☆12Updated last year
- OpenAI Gym Environment for Low-Latency Trading☆18Updated 6 years ago
- Trend Prediction for High Frequency Trading☆38Updated last year
- Exercises in 'Advances in Financial Machine Learning' by Lopez de Prado☆3Updated last year
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆23Updated 5 years ago
- A low frequency statistical arbitrage strategy☆16Updated 5 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 3 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆19Updated last year
- A financial trading method using machine learning.☆56Updated last year
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 5 years ago
- ☆16Updated 4 years ago
- Deep learning for limit order book trading and mid-price movement☆47Updated 3 years ago
- AS model performance versus trivial delta for market-makers☆17Updated 2 years ago
- This is the final project of Statistical Arbitrage course and it aims to apply pairs trading in high frequency data to realize auto-tradi…☆17Updated 5 years ago
- ☆17Updated this week
- Use machine learning to trade bitcoin.☆11Updated 3 years ago
- My first high-frequency trading strategy using machine learning☆14Updated 2 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆15Updated last year
- Substantial backtesting of statistical arbitrage pairs trading with crypto-currencies☆21Updated 4 years ago
- High Frequency Trading Strategies☆40Updated 7 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆25Updated 3 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆13Updated 3 years ago
- Advancing in Financial Machine Learning☆16Updated 4 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 6 years ago