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:
- my first factor-stock-selecting backtest function☆23Updated 5 years ago
- Collection of numerical methods for high frequency data, in Python notebooks☆13Updated 4 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆38Updated 5 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆14Updated 2 years ago
- 多因子选股框架☆27Updated 4 years ago
- Trend Prediction for High Frequency Trading☆43Updated 2 years ago
- 【Framework】A Multi Factor Strategy based on XGboost, its my homework project in Tsinghua, the Introduction to Quantitative Finance, 2019 …☆17Updated 2 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆29Updated 7 years ago
- Stock risk premium prediction via FM/ EXT/ GBDT/ XGB/LBGM. Mengxuan Chen's graduation thesis at WHU.☆15Updated 5 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- ☆15Updated 4 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12Updated 4 years ago
- The source code for the paper☆24Updated 2 years ago
- from for/if/else to my first option back-test function☆20Updated 5 years ago
- 基于机器学习的多因子研究框架☆14Updated 5 years ago
- ☆19Updated 5 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆35Updated 6 years ago
- Market making strategies and scientific papers☆14Updated 2 years ago
- ☆12Updated 4 years ago
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆36Updated 5 years ago
- Alpha mining with DEAP-based genetic programming.☆11Updated 2 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆70Updated 2 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- 一些研报的复现☆12Updated 7 years ago
- High Frequency Jump Prediction Project☆39Updated 5 years ago
- Develop about 200 alpha factors from securities report etc, Grid Search/Random Search/Particle Swarm Optimization to improve factors perf…☆22Updated 7 years ago
- A Higher-order HMM with EM algo.☆16Updated 3 years ago
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆68Updated 3 years ago
- SABR Implied volatility asymptotics☆24Updated 5 years ago