nymath / torchqtm
TorchQuantum is a backtesting framework that integrates the structure of PyTorch and WorldQuant's Operator for efficient quantitative financial analysis.
☆41Updated last year
Alternatives and similar repositories for torchqtm:
Users that are interested in torchqtm are comparing it to the libraries listed below
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆75Updated last year
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆29Updated last year
- ☆27Updated last year
- Literature survey of order execution strategies implemented in python☆44Updated 4 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆82Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆80Updated 2 years ago
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆62Updated 4 years ago
- Implementing 'Deep Risk Model: A Deep Learning Solution for Mining Latent Risk Factors to Improve Covariance Matrix Estimation' based on …☆13Updated 2 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆44Updated 5 years ago
- High Frequency Analysis Based On Level-2 Data（Limit Order Book& Transaction Data)☆100Updated 11 months ago
- This repository is for the demonstration of our work, "Market Making with Deep Reinforcement Learning from Limit Order Books"☆59Updated 2 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆119Updated 5 years ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆107Updated 2 years ago
- 基于基因表达式规划算法的因子挖掘☆29Updated 3 years ago
- alpha投研示例☆69Updated this week
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆43Updated last year
- High Frequency Trading Strategies☆44Updated 7 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆33Updated 5 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆62Updated last year
- CS7641 Team project☆94Updated 4 years ago
- This repository hosts my reading notes for academic papers.☆83Updated 3 years ago
- The source code for the paper☆21Updated last year
- ☆49Updated 4 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- Probability of Backtest Overfitting in Python☆124Updated last year
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆56Updated 2 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆114Updated last year
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆55Updated 2 years ago
- qlib数据层backend支持pgsql数据库☆12Updated last year
- The book <Advanced Algorithmic Trading> and its source code☆59Updated 7 years ago