maxlamberti / time-series-momentum
🚂💨 Deep Momentum Networks for Time Series Strategies
☆117Updated 4 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
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆75Updated last year
- ☆197Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆79Updated 2 years ago
- Notes on Advances in Financial Machine Learning☆77Updated 6 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆83Updated 4 years ago
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆62Updated 4 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
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆150Updated 10 months 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
- Pair Trading Strategy using Machine Learning written in Python☆114Updated 2 years ago
- ☆48Updated 4 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆85Updated 4 years ago
- Implemented some mathematical processings used in the Barra risk model☆26Updated last year
- Deep Learning Statistical Arbitrage☆220Updated 2 years ago
- Limit Order Book data analysis and modeling using LSTM network☆136Updated 6 years ago
- Probability of Backtest Overfitting in Python☆121Updated last year
- CS7641 Team project☆93Updated 4 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆43Updated 2 years ago
- Notebooks based on financial machine learning.☆50Updated 4 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆64Updated 2 months ago
- Research Repo (Archive)☆73Updated 4 years ago
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆208Updated 2 years ago
- three stochastic volatility model: Heston, SABR, SVI☆86Updated 6 years ago
- Transformers for limit order books☆108Updated 4 years ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆104Updated 2 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆61Updated last year
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆124Updated 5 years ago
- ☆71Updated 4 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆154Updated last week
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆70Updated 4 years ago