maxlamberti / time-series-momentumLinks
🚂💨 Deep Momentum Networks for Time Series Strategies
☆125Updated 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
Sorting:
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆86Updated last year
- ☆208Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆94Updated 2 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆90Updated 4 years ago
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆264Updated 3 years ago
- Notes on Advances in Financial Machine Learning☆82Updated 7 years ago
- LOBCAST is a Python-based open-source framework for stock market trend forecasting using Limit Order Book (LOB) data. 🤖📈☆115Updated last year
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆66Updated 5 years ago
- Probability of Backtest Overfitting in Python☆128Updated 2 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆70Updated last year
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆210Updated last year
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆137Updated 3 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆58Updated 2 years ago
- ☆55Updated 4 years ago
- We introduce the first end-to-end Deep Reinforcement Learning based framework for active high frequency trading.☆78Updated 2 years ago
- Notebooks based on financial machine learning.☆55Updated 5 years ago
- Limit Order Book data analysis and modeling using LSTM network☆137Updated 6 years ago
- Deep Learning Statistical Arbitrage☆251Updated 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 5 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆121Updated 11 months ago
- Pairs Trading with Machine Learning on Distributed Python Platform☆124Updated 3 years ago
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - Técnico Li…☆171Updated 6 years ago
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆59Updated 2 years ago
- ☆73Updated 5 years ago
- Transformers for limit order books☆120Updated 5 years ago
- Estimation of the lead-lag parameter from non-synchronous data.☆133Updated 8 months ago
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆50Updated 11 months ago
- CS7641 Team project☆97Updated 5 years ago
- Literature survey of order execution strategies implemented in python☆44Updated 5 years ago