maxzager / Financial-series-and-Triple-Barrier-MethodLinks
I did this project as one of the parts from a Python test for my Master's degree. The objective was to practice the treatment of financial time series.
☆21Updated 2 years ago
Alternatives and similar repositories for Financial-series-and-Triple-Barrier-Method
Users that are interested in Financial-series-and-Triple-Barrier-Method are comparing it to the libraries listed below
Sorting:
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆15Updated 4 years ago
- An expansion of the Triple-Barrier Method by Marcos López de Prado☆46Updated last year
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆69Updated 2 years ago
- High Frequency Jump Prediction Project☆39Updated 5 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 8 months ago
- Notes on Advances in Financial Machine Learning☆81Updated 6 years ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆38Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆90Updated 2 years ago
- High Frequency Trading Strategies☆48Updated 8 years ago
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆65Updated 3 years ago
- Different trading strategies based on technical analysis using Ethereum/USD 5-minute bars data☆21Updated 4 years ago
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆125Updated 5 years ago
- Advancing in Financial Machine Learning☆16Updated 5 years ago
- Literature survey of order execution strategies implemented in python☆44Updated 5 years ago
- Mean Reversion Trading Strategy☆29Updated 4 years ago
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆72Updated 5 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- Common financial risk and performance metrics. Used by zipline and pyfolio.☆93Updated last week
- Meta labeling is a method of determining the size of the bet.☆31Updated 3 years ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆25Updated last year
- This is for the capstone project "Optimal Execution of a VWAP order".☆35Updated 5 years ago
- ☆46Updated 3 years ago
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆58Updated 2 years ago
- Modelling for price change forecast using High-frequency Trading limit order book dynamics using ML algorithms☆27Updated 7 years ago
- ☆76Updated last year
- Contains all the Jupyter Notebooks used in our research☆15Updated 5 years ago
- Testing trading signals of commodity futures☆17Updated 5 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆29Updated 4 years ago
- Having effective intraday forecast for the level of trading volume is of vital importance to algorithmic trading and portfolio management…☆51Updated 5 years ago