maxlamberti / time-series-momentum
🚂💨 Deep Momentum Networks for Time Series Strategies
☆113Updated 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
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆78Updated last year
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆71Updated 11 months ago
- ☆191Updated last year
- Notebooks based on financial machine learning.☆45Updated 4 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆53Updated 2 weeks ago
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆239Updated 2 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆81Updated 3 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆80Updated 3 years ago
- Implemented some mathematical processings used in the Barra risk model☆25Updated last year
- Pair Trading Strategy using Machine Learning written in Python☆114Updated 2 years ago
- ☆69Updated 4 years ago
- Mean-Variance Optimization using DL (pytorch)☆30Updated 2 years ago
- Notes on Advances in Financial Machine Learning☆75Updated 6 years ago
- Probability of Backtest Overfitting in Python☆119Updated last year
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆58Updated 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.☆139Updated 7 months ago
- CS7641 Team project☆93Updated 4 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
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆122Updated 5 years ago
- Research Repo (Archive)☆70Updated 4 years ago
- To classify trades into buyer- and seller-initiated.☆134Updated 2 years ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆95Updated 2 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆41Updated 2 years ago
- ☆45Updated 3 years ago
- Limit Order Book data analysis and modeling using LSTM network☆132Updated 5 years ago
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - Técnico Li…☆154Updated 5 years ago
- Solutions for selected exercises from Advances in Financial Machine Learning by Marcos Lopez De Prado☆50Updated 2 years ago
- LOBCAST is a Python-based open-source framework for stock market trend forecasting using Limit Order Book (LOB) data. 🤖📈☆93Updated 8 months ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆54Updated 10 months ago
- Literature survey of order execution strategies implemented in python☆40Updated 4 years ago