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:
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆90Updated 2 years ago
- Trend Prediction for High Frequency Trading☆43Updated 2 years ago
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago
- High Frequency Trading Strategies☆48Updated 8 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆68Updated last year
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆35Updated 5 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆29Updated 4 years ago
- ☆52Updated 4 years ago
- High Frequency Jump Prediction Project☆39Updated 5 years ago
- ☆19Updated 5 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆29Updated 4 years ago
- This repo contains my reimplementation and improvement of DeepLOB model.☆30Updated 4 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆68Updated 2 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- Literature survey of order execution strategies implemented in python☆44Updated 5 years ago
- Collection of indicators that I used in my strategies.☆58Updated 6 months ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆20Updated 2 years ago
- ☆24Updated 5 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆86Updated 4 years ago
- ☆41Updated 4 years ago
- Time Series Prediction of Volume in LOB☆58Updated last year
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆64Updated 3 years ago
- ☆36Updated 4 years ago
- ☆25Updated 7 years ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆70Updated 9 years ago
- Deep learning for price movement prediction using high frequency limit order data☆40Updated 7 years ago
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆17Updated last year
- Develop about 200 alpha factors from securities report etc, Grid Search/Random Search/Particle Swarm Optimization to improve factors perf…☆22Updated 7 years ago
- ☆46Updated 3 years ago