maxlamberti / time-series-momentum
ππ¨ Deep Momentum Networks for Time Series Strategies
β116Updated 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
- β191Updated last year
- Notes on Advances in Financial Machine Learningβ76Updated 6 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategiesβ75Updated 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.β145Updated 9 months ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Scienceβ79Updated last year
- This repo contains some codes and outputs of my implementation of DeepLOB model.β83Updated 3 years ago
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (β¦β242Updated 2 years ago
- Notebooks based on financial machine learning.β47Updated 4 years ago
- Probability of Backtest Overfitting in Pythonβ120Updated last year
- Statistical Jump Models in Python, with scikit-learn-style APIsβ60Updated last month
- β69Updated 4 years ago
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategyβ58Updated 4 years ago
- Pair Trading Strategy using Machine Learning written in Pythonβ114Updated 2 years ago
- Implemented some mathematical processings used in the Barra risk modelβ25Updated last year
- β46Updated 3 years ago
- This repository is for the demonstration of our work, "Market Making with Deep Reinforcement Learning from Limit Order Books"β53Updated last year
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolioβ¦β99Updated 2 years ago
- CS7641 Team projectβ93Updated 4 years ago
- Research Repo (Archive)β70Updated 4 years ago
- Mean-Variance Optimization using DL (pytorch)β30Updated 2 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulationβ¦β129Updated 6 years ago
- Deep Learning Statistical Arbitrageβ216Updated 2 years ago
- LOBCAST is a Python-based open-source framework for stock market trend forecasting using Limit Order Book (LOB) data. π€πβ95Updated 9 months ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategiesβ181Updated last year
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.β201Updated 2 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Pythonβ84Updated 4 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heβ¦β151Updated last month
- To classify trades into buyer- and seller-initiated.β137Updated 2 years ago
- three stochastic volatility model: Heston, SABR, SVIβ84Updated 5 years ago
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Pradoβ122Updated 5 years ago