m4rk-lewis / FinBERT_feat_eng_for_Momentum_Transformer
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
☆21Updated last year
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
- ☆17Updated 4 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆27Updated 3 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆44Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- ☆49Updated 3 years ago
- A financial trading method using machine learning.☆59Updated last year
- Trend Prediction for High Frequency Trading☆39Updated 2 years ago
- Literature survey of order execution strategies implemented in python☆41Updated 4 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆33Updated 5 years ago
- High Frequency Trading Strategies☆41Updated 7 years ago
- Exercises in 'Advances in Financial Machine Learning' by Lopez de Prado☆3Updated last year
- High Frequency Jump Prediction Project☆35Updated 4 years ago
- ☆21Updated 4 years ago
- Advancing in Financial Machine Learning☆16Updated 5 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
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆59Updated 11 months ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆26Updated 6 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated 10 months ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 3 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 5 years ago
- Calibrates microprice model to BitMEX quote data☆56Updated 3 years ago
- Examples of nautilus script☆30Updated 2 months ago
- Volume Weighted Average Price Optimal Execution☆41Updated 5 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆79Updated last year
- This repo contains my reimplementation and improvement of DeepLOB model.☆28Updated 3 years ago
- Trading Strategy on S&P500 with different method (Linear Regression, XGBOOST, LSTM, HMM☆10Updated 4 years ago
- Deep learning for price movement prediction using high frequency limit order data☆38Updated 6 years ago
- Time Series Prediction of Volume in LOB☆56Updated 10 months ago
- Example of order book modeling.☆56Updated 5 years ago
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆28Updated 11 months ago