muhaochen-2021 / -Star2-Multi-Factor-Selection-Mode
Apply machine learning algorithms in the financial market. Ensemble Model, including XGBoost, LightGBM, CNN, ResNet and LSTM.
☆10Updated 2 years ago
Alternatives and similar repositories for -Star2-Multi-Factor-Selection-Mode:
Users that are interested in -Star2-Multi-Factor-Selection-Mode are comparing it to the libraries listed below
- Stock Price Prediction with PCA and LSTM☆14Updated 3 years ago
- Stock risk premium prediction via FM/ EXT/ GBDT/ XGB/LBGM. Mengxuan Chen's graduation thesis at WHU.☆13Updated 5 years ago
- Multi Factor Stock Selection Model with XGBoost Tree Boosting☆8Updated last year
- ☆11Updated 2 years ago
- ARIMA & GARCH models for stock price prediction☆17Updated 4 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- Multi Task Learning Time Series Momentum☆17Updated 8 months ago
- 多因子选股框架☆21Updated 4 years ago
- 基于机器学习的多因子研究框架☆14Updated 4 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆24Updated 6 years ago
- 众人的因子回测框架 stock factor test☆25Updated 3 months ago
- ☆10Updated 3 years ago
- A python-based implementation of the HAR model to forecast realized volatility on SPY.☆16Updated 4 years ago
- Reproduce the result of the paper "Deep Learning with Long Short-Term Memory Networks for Financial Market Prediction"☆19Updated 4 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆12Updated 2 years ago
- 【Framework】A Multi Factor Strategy based on XGboost, its my homework project in Tsinghua, the Introduction to Quantitative Finance, 2019 …☆15Updated 2 years ago
- 复现AAAI-21-STHAN-SR☆10Updated last year
- Market making strategies and scientific papers☆13Updated last year
- A study on volume-price factor stock selection model based on wavelet transform and multitask self-attention network☆50Updated 6 months ago
- By combining GARCH(1,1) and LSTM model implementing predictions.☆56Updated 6 years ago
- Time Series Classification with Convolutional Neural Network: Automated Trading by Pattern Recognition (Master's Thesis)☆20Updated last year
- Crypto-Options Volatility Surface Calibration and Arbitrage☆10Updated 2 years ago
- 改写了gplearn源码,原有的gplearn会把数据转为numpy,丢失了datetime和stockcode的原始信息。很难做截面的因子ic、ir分析,所以改动了相应的源码,使之可以做因子的截面ic分析。另外增加了时序函数和并行化框架ray的支持。☆18Updated 9 months ago
- Transformer and MultiTransformer layers for stock volatility forecasting purposes☆65Updated 3 years ago
- Dynamic Nelson Siegel Model☆11Updated 5 years ago
- my first factor-stock-selecting backtest function☆21Updated 4 years ago
- This repository provides a PyTorch implementation of "Trade Forecasting via Efficient Multi-commodity STL Decomposition based Neural Netw…☆13Updated 8 months ago
- For code and snippets for STA 2536: Data Science for Risk Modeling☆13Updated 3 years ago
- ☆12Updated 3 years ago
- 多因子打分选股☆13Updated 3 years ago