lycanthropes / timing_strategy_of_stock-index
I use a LSTM ( long short term memory model) model to predict the fluctuations of VIX index ( the index of 50ETF options), and trade the index of 50ETF accordingly.
☆12Updated 6 years ago
Alternatives and similar repositories for timing_strategy_of_stock-index
Users that are interested in timing_strategy_of_stock-index are comparing it to the libraries listed below
Sorting:
- my first factor-stock-selecting backtest function☆21Updated 4 years ago
- Trend Prediction for High Frequency Trading☆40Updated 2 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- ☆24Updated 6 years ago
- ☆18Updated 8 years ago
- 多因子选股框架☆22Updated 4 years ago
- 实行gamma scalping策略时的期权组合选择工具☆15Updated 6 years ago
- A Higher-order HMM with EM algo.☆16Updated 3 years ago
- ☆19Updated 4 years ago
- Deep q learning on determining buy/sell signal and placing orders☆49Updated 5 years ago
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆56Updated 2 years ago
- 多因子模型相关☆21Updated 3 years ago
- A multi-factor stock selection model based on random forest with an average annualized yield of 33.74% from March 2014 to June 2017 when …☆15Updated 6 years ago
- Develop about 200 alpha factors from securities report etc, Grid Search/Random Search/Particle Swarm Optimization to improve factors perf…☆20Updated 6 years ago
- This is the final project of Statistical Arbitrage course and it aims to apply pairs trading in high frequency data to realize auto-tradi…☆18Updated 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
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- Stock risk premium prediction via FM/ EXT/ GBDT/ XGB/LBGM. Mengxuan Chen's graduation thesis at WHU.☆14Updated 5 years ago
- Market making strategies and scientific papers☆13Updated last year
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆63Updated 2 years ago
- This trading strategy deploy the copula model to define the divergence of two correlated asset. The backtesting system is built on backtr…☆22Updated 2 years ago
- 一些研报的复现☆12Updated 6 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆44Updated 2 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago
- Alpaca-based Order Book Inbalace Algorithm.☆12Updated 4 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
- XGBoost is known to be fast and achieve good prediction results as compared to the regular gradient boosting libraries. This project atte…☆32Updated 6 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆33Updated 5 years ago