kartikay94 / Selecting-stock-pairs-for-pairs-trading-while-incorporating-lead-lag-relationship
☆19Updated 4 years ago
Alternatives and similar repositories for Selecting-stock-pairs-for-pairs-trading-while-incorporating-lead-lag-relationship:
Users that are interested in Selecting-stock-pairs-for-pairs-trading-while-incorporating-lead-lag-relationship are comparing it to the libraries listed below
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆17Updated last year
- A low frequency statistical arbitrage strategy☆19Updated 6 years ago
- Market making strategies and scientific papers☆13Updated last year
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- Advancing in Financial Machine Learning☆16Updated 5 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆13Updated 3 years ago
- ☆21Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆12Updated 2 years ago
- ☆39Updated 3 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12Updated 3 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated last month
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆20Updated 6 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆12Updated 2 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆16Updated 2 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 …☆8Updated 3 years ago
- A financial trading method using machine learning.☆60Updated 2 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆14Updated 6 years ago
- ☆49Updated 3 years ago
- Alpaca-based Order Book Inbalace Algorithm.☆12Updated 4 years ago
- ☆18Updated 8 years ago
- ☆12Updated last year
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Dynamic lead/lag inference for time series☆16Updated 6 years ago
- A Sharpe ratio optimised decoder-only TFT based Momentum Transformer and LSTM Deep Momentum Network trading model using FinBERT breaking …☆22Updated 2 years ago
- ☆24Updated 6 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 3 years ago