profnote / AlgoTrading-PriceImpactOrderFlowLinks
Implementing a medium freq trading strategy by estimating price impact via order flow.
☆16Updated 5 years ago
Alternatives and similar repositories for AlgoTrading-PriceImpactOrderFlow
Users that are interested in AlgoTrading-PriceImpactOrderFlow are comparing it to the libraries listed below
Sorting:
- Trend Prediction for High Frequency Trading☆43Updated 2 years ago
- Derive order flow from Tick and Trade data.☆32Updated 4 years ago
- High Frequency Trading Strategies☆48Updated 8 years ago
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆68Updated 2 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆29Updated 4 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆64Updated 3 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆32Updated 4 years ago
- Example of order book modeling.☆58Updated 6 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆68Updated last year
- This is for the capstone project "Optimal Execution of a VWAP order".☆35Updated 5 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆104Updated 6 years ago
- 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
- Modelling for price change forecast using High-frequency Trading limit order book dynamics using ML algorithms☆27Updated 7 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- Mean Reversion Trading Strategy☆29Updated 4 years ago
- Develop about 200 alpha factors from securities report etc, Grid Search/Random Search/Particle Swarm Optimization to improve factors perf…☆22Updated 7 years ago
- Limit Orderbook CNN model implementation for ETH-BTC (buy-low-sell-high indicator)☆17Updated 2 years ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆70Updated 9 years ago
- OpenAI Gym Environment for Low-Latency Trading☆18Updated 7 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆90Updated 2 years ago
- Literature survey of order execution strategies implemented in python☆44Updated 5 years ago
- Pair Trading Strategy using Machine Learning written in Python☆122Updated 3 years ago
- High Frequency Trading☆110Updated 7 years ago
- This is the final project of Statistical Arbitrage course and it aims to apply pairs trading in high frequency data to realize auto-tradi…☆19Updated 6 years ago
- A Python system to generate Volume Weighted Average Pricing (VWAP) Model based Long/Short Trading Signal☆18Updated 8 years ago
- Machine learning approach to high frequency trading, MLP & RNN used☆22Updated 9 years ago
- Built a practical Multi-Factor Backtesting Framework from scratch based on Huatai Security's(One of China's largest sell side) financial …☆66Updated 2 years ago