kieranjwood / slow-momentum-fast-reversionLinks
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).
☆248Updated 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
Sorting:
- This code accompanies the the paper Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture (https://arxiv.o…☆535Updated last year
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆119Updated 5 years ago
- Deep Learning Statistical Arbitrage☆233Updated 2 years ago
- ☆200Updated 2 years ago
- trend / momentum and other patterns in financial timeseries☆266Updated 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.☆223Updated 3 years ago
- To classify trades into buyer- and seller-initiated.☆144Updated 2 years ago
- Exercises of the book: Advances in Financial Machine Learning by Marcos Lopez de Prado☆209Updated 4 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆77Updated 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.☆165Updated last year
- experiments with pair trading☆300Updated 6 months ago
- Limit Order Book data analysis and modeling using LSTM network☆136Updated 6 years ago
- CS7641 Team project☆95Updated 4 years ago
- ☆398Updated 4 years ago
- An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implemen…☆363Updated 6 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆165Updated 3 weeks ago
- mbt_gym is a module which provides a suite of gym environments for training reinforcement learning (RL) agents to solve model-based high-…☆157Updated last year
- PortfolioLab is a python library that enables traders to take advantage of the latest portfolio optimisation algorithms used by professio…☆168Updated 3 years ago
- Notes on Advances in Financial Machine Learning☆79Updated 6 years ago
- A vectorized implementation of py_vollib, that supports numpy arrays and pandas Series and DataFrames.☆133Updated 6 months ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆196Updated last year
- We tested 3 approaches for Pair Trading: distance, cointegration and reinforcement learning approach.☆262Updated 2 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆83Updated 4 years ago
- Pair Trading Strategy using Machine Learning written in Python☆119Updated 3 years ago
- Modular Python library that provides an advanced event driven backtester and a set of high quality tools for quantitative finance. Integr…☆591Updated this week
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - Técnico Li…☆164Updated 5 years ago
- Performance analysis of predictive (alpha) stock factors☆435Updated 2 weeks ago
- Fast and scalable construction of risk parity portfolios☆303Updated last year
- Transformers for limit order books☆113Updated 4 years ago
- Implementation of code snippets, exercises and application to live data from Machine Learning for Asset Managers (Elements in Quantitativ…☆554Updated 4 months ago