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
☆25Updated 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:
- Backtest result archive for Momentum Trading Strategies☆64Updated 6 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆69Updated last year
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆92Updated 2 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- High Frequency Trading Strategies☆48Updated 8 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆69Updated 2 years ago
- Trend Prediction for High Frequency Trading☆43Updated 2 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆28Updated 4 years ago
- Literature survey of order execution strategies implemented in python☆43Updated 5 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆89Updated 4 years ago
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆67Updated 3 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆86Updated last year
- ☆41Updated 4 years ago
- ☆53Updated 4 years ago
- This repo contains my reimplementation and improvement of DeepLOB model.☆32Updated 4 years ago
- Collection of indicators that I used in my strategies.☆59Updated 7 months ago
- ☆19Updated 5 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆19Updated 2 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆35Updated 5 years ago
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆17Updated 2 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆38Updated 5 years ago
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆58Updated 2 years ago
- High Frequency Jump Prediction Project☆39Updated 5 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆31Updated 4 years ago
- Calibrates microprice model to BitMEX quote data☆60Updated 4 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆55Updated 2 years ago
- ☆120Updated 7 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…☆21Updated 4 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆97Updated 4 years ago
- AI based alpha research for trading☆50Updated 3 years ago