lycanthropes / timing_strategy_of_stock-indexLinks
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.
☆13Updated 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:
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆13Updated 2 years ago
- 多因子选股框架☆24Updated 4 years ago
- 【Framework】A Multi Factor Strategy based on XGboost, its my homework project in Tsinghua, the Introduction to Quantitative Finance, 2019 …☆16Updated 2 years ago
- from for/if/else to my first option back-test function☆18Updated 5 years ago
- 基于机器学习的多因子研究框架☆14Updated 5 years ago
- Trend Prediction for High Frequency Trading☆42Updated 2 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- Collection of numerical methods for high frequency data, in Python notebooks☆13Updated 4 years ago
- 雪球结构产品定价☆29Updated last year
- Market making strategies and scientific papers☆13Updated 2 years ago
- 一些研报的复现☆13Updated 6 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆34Updated 5 years ago
- my first factor-stock-selecting backtest function☆21Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆15Updated last year
- Develop about 200 alpha factors from securities report etc, Grid Search/Random Search/Particle Swarm Optimization to improve factors perf…☆22Updated 7 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12Updated 4 years ago
- Implementing a medium freq trading strategy by estimating price impact via order flow.☆16Updated 4 years ago
- High Frequency Market Making: Optimal Quoting☆13Updated 2 years ago
- Modelling for price change forecast using High-frequency Trading limit order book dynamics using ML algorithms☆27Updated 7 years ago
- A Higher-order HMM with EM algo.☆16Updated 3 years ago
- ☆12Updated 4 years ago
- Alpaca-based Order Book Inbalace Algorithm.☆12Updated 5 years ago
- Quant finance Portal based on project BearAlpha. This project contains strategy back test framework with backtrader, database construct w…☆17Updated 3 years ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Updated 3 years ago
- 基于基因表达式规划算法的因子挖掘☆31Updated 3 years ago
- 量化FOF框架☆13Updated 6 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆65Updated 2 years ago
- Literature survey of order execution strategies implemented in python☆44Updated 5 years ago
- High Frequency Trading Strategies☆49Updated 8 years ago