ozencgungor / Pairs_Trading_KalmanLinks
Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.
☆11Updated 2 years ago
Alternatives and similar repositories for Pairs_Trading_Kalman
Users that are interested in Pairs_Trading_Kalman are comparing it to the libraries listed below
Sorting:
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- ☆24Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Updated 3 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- This trading strategy deploy the copula model to define the divergence of two correlated asset. The backtesting system is built on backtr…☆22Updated 3 years ago
- ORC wing model calibrator and simulator.☆10Updated last year
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆13Updated 2 years ago
- A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading☆18Updated 4 years ago
- Option Strategy for Futures☆14Updated 5 years ago
- Market making strategies and scientific papers☆13Updated 2 years ago
- Collection of Models related to market making☆18Updated 4 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆65Updated 2 years ago
- AS model performance versus trivial delta for market-makers☆20Updated 3 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12Updated 4 years ago
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆13Updated 3 years ago
- Optimal high-frequency market making strategy☆23Updated 9 months ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆56Updated 4 years ago
- Quant finance Portal based on project BearAlpha. This project contains strategy back test framework with backtrader, database construct w…☆17Updated 3 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆14Updated 2 years ago
- ☆19Updated 5 years ago
- from for/if/else to my first option back-test function☆18Updated 5 years ago
- Backtest result archive for Momentum Trading Strategies☆63Updated 6 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆67Updated last year
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆61Updated 2 years ago
- experiments with crypto trading☆17Updated last year
- Collection of numerical methods for high frequency data, in Python notebooks☆13Updated 4 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆20Updated 3 years ago
- Trading Strategy on S&P500 with different method (Linear Regression, XGBOOST, LSTM, HMM☆10Updated 5 years ago