m4rk-lewis / FinBERT_feat_eng_for_Momentum_TransformerLinks
A Sharpe ratio optimised decoder-only TFT based Momentum Transformer and LSTM Deep Momentum Network trading model using FinBERT breaking financial news sentiment and novel price action and VWAP proximity oscillators
☆24Updated 2 years ago
Alternatives and similar repositories for FinBERT_feat_eng_for_Momentum_Transformer
Users that are interested in FinBERT_feat_eng_for_Momentum_Transformer are comparing it to the libraries listed below
Sorting:
- Trend Prediction for High Frequency Trading☆42Updated 2 years ago
- Backtest result archive for Momentum Trading Strategies☆63Updated 6 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆30Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆87Updated 2 years ago
- High Frequency Trading Strategies☆49Updated 8 years ago
- ☆19Updated 5 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆49Updated 5 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆67Updated last year
- ☆52Updated 4 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆34Updated 5 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆66Updated 2 years ago
- Trading Strategy on S&P500 with different method (Linear Regression, XGBOOST, LSTM, HMM☆10Updated 5 years ago
- In this repository, the goal is to predict the tick direction of a stock based on its current order book and trade data. A LSTM Neural Ne…☆20Updated 4 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
- High Frequency Jump Prediction Project☆37Updated 5 years ago
- Collection of indicators that I used in my strategies.☆58Updated 4 months ago
- ☆41Updated 4 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆30Updated 3 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
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆61Updated 2 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- Literature survey of order execution strategies implemented in python☆44Updated 5 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆81Updated last year
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆58Updated 2 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- A Higher-order HMM with EM algo.☆16Updated 3 years ago
- Market making strategies and scientific papers☆13Updated 2 years ago