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☆20Updated 6 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆12Updated 2 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆33Updated 5 years ago
- ☆40Updated 4 years ago
- ☆18Updated 8 years ago
- Market making strategies and scientific papers☆13Updated last year
- ☆24Updated 6 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 5 years ago
- Advancing in Financial Machine Learning☆16Updated 5 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆27Updated 3 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆12Updated 2 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- A financial trading method using machine learning.☆60Updated 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…☆13Updated 3 years ago
- ☆21Updated 5 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆20Updated 6 years ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆62Updated last year
- ☆13Updated 2 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated 2 months ago
- Collection of numerical methods for high frequency data, in Python notebooks☆13Updated 4 years ago
- High Frequency Jump Prediction Project☆36Updated 4 years ago
- Backtest result archive for Momentum Trading Strategies☆53Updated 6 years ago
- A research project to study the gamma exposure of market-makers in Bitcoin option markets.☆14Updated 4 years ago
- Package to build risk model for factor pricing model☆24Updated 8 months ago