maxlamberti / time-series-momentumLinks
ππ¨ Deep Momentum Networks for Time Series Strategies
β124Updated 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:
- β208Updated 2 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategiesβ86Updated last year
- Code base for the meta-labeling papers published with the Journal of Financial Data Scienceβ92Updated 2 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.β90Updated 4 years ago
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (β¦β261Updated 3 years ago
- Notes on Advances in Financial Machine Learningβ82Updated 6 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.β206Updated last year
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategyβ66Updated 4 years ago
- Deep Learning Statistical Arbitrageβ248Updated 3 years ago
- Probability of Backtest Overfitting in Pythonβ127Updated 2 years ago
- Notebooks based on financial machine learning.β53Updated 5 years ago
- Pairs Trading with Machine Learning on Distributed Python Platformβ122Updated 3 years ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolioβ¦β136Updated 2 years ago
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - TΓ©cnico Liβ¦β171Updated 6 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NEβ¦β70Updated last year
- CS7641 Team projectβ97Updated 5 years ago
- Research Repo (Archive)β74Updated 5 years ago
- Limit Order Book data analysis and modeling using LSTM networkβ137Updated 6 years ago
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'β59Updated 2 years ago
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Preβ¦β49Updated 10 months ago
- β55Updated 4 years ago
- β121Updated 7 years ago
- Package based on the textbooks: Advances in Financial Machine Learning and Machine Learning for Asset Managers, by Marcos Lopez de Prado.β25Updated 5 years ago
- To classify trades into buyer- and seller-initiated.β154Updated 2 years ago
- Backtest result archive for Momentum Trading Strategiesβ64Updated 6 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulationβ¦β134Updated 6 years ago
- Code for the paper Volatility is (mostly) path-dependentβ69Updated last year
- LOBCAST is a Python-based open-source framework for stock market trend forecasting using Limit Order Book (LOB) data. π€πβ114Updated last year
- Estimation of the lead-lag parameter from non-synchronous data.β133Updated 8 months ago
- β73Updated 5 years ago