juliansester / statistical-arbitrageLinks
Robust Statistical Arbitrage Strategies
☆16Updated 3 years ago
Alternatives and similar repositories for statistical-arbitrage
Users that are interested in statistical-arbitrage are comparing it to the libraries listed below
Sorting:
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆66Updated last year
- Collection of Models related to market making☆17Updated 4 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆14Updated 2 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Developing a trend following model using futures☆33Updated last year
- Dynamic portfolio optimization☆24Updated last year
- Find trading pairs with Machine Learning☆41Updated 4 years ago
- Basic Limit Order Book functions☆22Updated 7 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆65Updated 2 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- Design your own Trading Strategy☆38Updated last year
- ☆31Updated 2 years ago
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆34Updated 4 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆32Updated 2 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- Dispersion Trading using Options☆33Updated 8 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆23Updated 3 years ago
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆13Updated 3 years ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆54Updated 4 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆19Updated 3 years ago
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆53Updated 4 years ago
- We propose using Probabilistic Graphical Models such as Bayesian Networks and Hidden Markov Models to construct a global-macro trading st…☆11Updated 7 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- ☆12Updated last year
- Option Strategy for Futures☆14Updated 4 years ago
- ☆19Updated 5 years ago
- Market making strategies and scientific papers☆13Updated last year