kieranjwood / slow-momentum-fast-reversion
This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (https://arxiv.org/pdf/2105.13727.pdf).
☆245Updated 2 years ago
Alternatives and similar repositories for slow-momentum-fast-reversion:
Users that are interested in slow-momentum-fast-reversion are comparing it to the libraries listed below
- This code accompanies the the paper Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture (https://arxiv.o…☆519Updated last year
- ☆199Updated 2 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆119Updated 5 years ago
- Deep Learning Statistical Arbitrage☆229Updated 2 years ago
- experiments with pair trading☆293Updated 4 months ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆75Updated last year
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆156Updated 11 months ago
- Probability of Backtest Overfitting in Python☆125Updated last year
- PortfolioLab is a python library that enables traders to take advantage of the latest portfolio optimisation algorithms used by professio…☆165Updated 3 years ago
- trend / momentum and other patterns in financial timeseries☆263Updated 3 years ago
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆216Updated 3 years ago
- We tested 3 approaches for Pair Trading: distance, cointegration and reinforcement learning approach.☆261Updated 2 years ago
- An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implemen…☆361Updated 6 years ago
- Pair Trading Strategy using Machine Learning written in Python☆117Updated 2 years ago
- Exercises of the book: Advances in Financial Machine Learning by Marcos Lopez de Prado☆209Updated 3 years ago
- Performance analysis of predictive (alpha) stock factors☆406Updated 7 months ago
- Notes on Advances in Financial Machine Learning☆79Updated 6 years ago
- Transformers for limit order books☆111Updated 4 years ago
- To classify trades into buyer- and seller-initiated.☆142Updated 2 years ago
- Fast and scalable construction of risk parity portfolios☆295Updated 11 months ago
- A collection of homeworks of market microstructure models.☆235Updated 7 years ago
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - Técnico Li…☆161Updated 5 years ago
- CS7641 Team project☆94Updated 4 years ago
- MlFinLab helps portfolio managers and traders who want to leverage the power of machine learning by providing reproducible, interpretable…☆62Updated 2 years ago
- ☆390Updated 4 years ago
- Quantitative finance research tools in Python☆420Updated 2 years ago
- ☆292Updated last year
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆157Updated 4 years ago
- This jupyter notebook is used to demonstrate our recent work, "DeepLOB: Deep Convolutional Neural Networks for Limit Order Books", publis…☆461Updated 3 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆80Updated 2 years ago