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
☆23Updated 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
- High Frequency Trading Strategies☆45Updated 7 years ago
- ☆19Updated 5 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 4 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆47Updated 5 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆34Updated 5 years ago
- High Frequency Jump Prediction Project☆36Updated 5 years ago
- Literature survey of order execution strategies implemented in python☆44Updated 4 years ago
- Collection of indicators that I used in my strategies.☆55Updated 2 months ago
- ☆50Updated 4 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 4 years ago
- This repo contains my reimplementation and improvement of DeepLOB model.☆29Updated 4 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆65Updated 2 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆18Updated 2 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆64Updated last year
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Using reinforcement learning to make markets in the high frequency trading setting.☆18Updated 2 months ago
- Implementing a medium freq trading strategy by estimating price impact via order flow.☆16Updated 4 years ago
- A Higher-order HMM with EM algo.☆16Updated 3 years ago
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆34Updated 4 years ago
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆21Updated 6 years ago
- Market making strategies and scientific papers☆13Updated last year
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆21Updated last year
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆29Updated 3 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆14Updated 3 years ago
- ☆33Updated 3 years ago
- Develop about 200 alpha factors from securities report etc, Grid Search/Random Search/Particle Swarm Optimization to improve factors perf…☆21Updated 6 years ago
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆14Updated last year
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆12Updated 2 years ago