maxlamberti / time-series-momentum
🚂💨 Deep Momentum Networks for Time Series Strategies
☆119Updated 5 years ago
Alternatives and similar repositories for time-series-momentum:
Users that are interested in time-series-momentum are comparing it to the libraries listed below
- ☆198Updated 2 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆75Updated last year
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆62Updated 4 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆82Updated 4 years ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆153Updated 10 months ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆80Updated 2 years ago
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆245Updated 2 years ago
- This repository is for the demonstration of our work, "Market Making with Deep Reinforcement Learning from Limit Order Books"☆59Updated 2 years ago
- Notes on Advances in Financial Machine Learning☆78Updated 6 years ago
- Reimplementation of Paper: (Re-)Imag(in)ing Price Trends☆59Updated 8 months ago
- Pair Trading Strategy using Machine Learning written in Python☆116Updated 2 years ago
- CS7641 Team project☆94Updated 4 years ago
- Implemented some mathematical processings used in the Barra risk model☆27Updated 2 years ago
- Limit Order Book data analysis and modeling using LSTM network☆136Updated 6 years ago
- Probability of Backtest Overfitting in Python☆124Updated last year
- Notebooks based on financial machine learning.☆50Updated 4 years ago
- Deep Learning Statistical Arbitrage☆225Updated 2 years ago
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - Técnico Li…☆161Updated 5 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆85Updated 4 years ago
- ☆50Updated 4 years ago
- LOBCAST is a Python-based open-source framework for stock market trend forecasting using Limit Order Book (LOB) data. 🤖📈☆97Updated 11 months ago
- ☆27Updated last year
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆55Updated 2 years ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆107Updated 2 years ago
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆213Updated 3 years ago
- This repository hosts my reading notes for academic papers.☆83Updated 3 years ago
- Package based on the textbooks: Advances in Financial Machine Learning and Machine Learning for Asset Managers, by Marcos Lopez de Prado.☆25Updated 4 years ago
- mbt_gym is a module which provides a suite of gym environments for training reinforcement learning (RL) agents to solve model-based high-…☆157Updated last year
- three stochastic volatility model: Heston, SABR, SVI☆87Updated 6 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆132Updated 6 years ago