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
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆89Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆92Updated 2 years ago
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆259Updated 2 years ago
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆66Updated 4 years ago
- Notes on Advances in Financial Machine Learning☆82Updated 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.☆203Updated last year
- Deep Learning Statistical Arbitrage☆246Updated 3 years ago
- Probability of Backtest Overfitting in Python☆126Updated 2 years ago
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆58Updated 2 years ago
- ☆54Updated 4 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆69Updated last year
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆132Updated 2 years ago
- Pairs Trading with Machine Learning on Distributed Python Platform☆122Updated 3 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆114Updated 10 months ago
- Our codebase trials provide an implementation of the Select and Trade paper, which proposes a new paradigm for pair trading using hierar…☆129Updated 2 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆54Updated 2 years ago
- Transformers for limit order books☆117Updated 5 years ago
- LOBCAST is a Python-based open-source framework for stock market trend forecasting using Limit Order Book (LOB) data. 🤖📈☆111Updated last year
- Backtest result archive for Momentum Trading Strategies☆64Updated 6 years ago
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆49Updated 9 months ago
- To classify trades into buyer- and seller-initiated.☆153Updated 2 years ago
- ☆73Updated 5 years ago
- CS7641 Team project☆97Updated 5 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- Custom Loss functions for asset return prediction with deep learning regression☆36Updated 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
- Limit Order Book data analysis and modeling using LSTM network☆137Updated 6 years ago
- Reimplementation of Paper: (Re-)Imag(in)ing Price Trends☆65Updated last month