kieranjwood / trading-momentum-transformer
This code accompanies the the paper Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture (https://arxiv.org/pdf/2112.08534.pdf).
☆498Updated last year
Alternatives and similar repositories for trading-momentum-transformer:
Users that are interested in trading-momentum-transformer are comparing it to the libraries listed below
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆239Updated 2 years ago
- Code implementation of the Quantigic 101 Formulaic Alphas☆462Updated 5 years ago
- This jupyter notebook is used to demonstrate our recent work, "DeepLOB: Deep Convolutional Neural Networks for Limit Order Books", publis…☆434Updated 3 years ago
- Performance analysis of predictive (alpha) stock factors☆363Updated 4 months ago
- ☆191Updated last year
- Deep Learning Statistical Arbitrage☆215Updated 2 years ago
- Modular Python library that provides an advanced event driven backtester and a set of high quality tools for quantitative finance. Integr…☆568Updated this week
- ☆374Updated 4 years ago
- GPU-accelerated Factors analysis library and Backtester☆672Updated last year
- experiments with pair trading☆279Updated 2 months ago
- An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implemen…☆351Updated 6 years ago
- Implementation of code snippets, exercises and application to live data from Machine Learning for Asset Managers (Elements in Quantitativ…☆506Updated 2 weeks ago
- PyTrendFollow - systematic futures trading using trend following☆387Updated 6 years ago
- This project involves using a combination of statistics along with financial thoery to demonstrate a popular trading strategy used in equ…☆352Updated 10 months ago
- High frequency trading (HFT) framework built for futures using machine learning and deep learning techniques☆401Updated 2 years ago
- Intelligently optimizes technical indicators and optionally selects the least intercorrelated for use in machine learning models☆431Updated last year
- Advances in Financial Machine Learning☆769Updated 2 years ago
- Portfolio and risk analytics in Python☆428Updated 4 months ago
- Avellaneda-Stoikov HFT market making algorithm implementation☆477Updated last year
- Benchmark Dataset of Limit Order Book in China Markets☆196Updated 3 years ago
- Quantitative finance research tools in Python☆414Updated 2 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆114Updated 4 years ago
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆197Updated 2 years ago
- Analysis on systematic trading strategies (e.g., trend-following, carry and mean-reversion). The result is regularly updated.☆537Updated this week
- Portfolio optimization with deep learning.☆975Updated last year
- A nimble options backtesting library for Python☆1,040Updated 7 months ago
- ☆319Updated 11 months ago
- Collection of algorithms for online portfolio selection☆795Updated last month
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆178Updated last year