quantgalore / statistical-arbitrageLinks
System for Testing Statistical Arbitrage Strategy
☆15Updated last year
Alternatives and similar repositories for statistical-arbitrage
Users that are interested in statistical-arbitrage are comparing it to the libraries listed below
Sorting:
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆167Updated last month
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆168Updated last year
- Deep Learning Statistical Arbitrage☆234Updated 2 years ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆116Updated 4 months ago
- ☆140Updated 2 years ago
- Macrosynergy Quant Research☆147Updated this week
- Quantitative Investment Strategies (QIS) package implements Python analytics for visualisation of financial data, performance reporting, …☆388Updated last week
- trend / momentum and other patterns in financial timeseries☆270Updated 4 years ago
- To classify trades into buyer- and seller-initiated.☆145Updated 2 years ago
- ☆81Updated 7 months ago
- A dockerized Jupyter quant research environment.☆200Updated this week
- experiments with pair trading☆307Updated 7 months ago
- Python library for asset pricing☆116Updated last year
- Quantamental finance research with python☆149Updated 3 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆79Updated 6 months ago
- Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.☆261Updated last week
- GARCH and Multivariate LSTM forecasting models for Bitcoin realized volatility with potential applications in crypto options trading, hed…☆268Updated 3 years ago
- Feature Engineering and Feature Importance in Machine Learning for Financial Markets☆187Updated last year
- PortfolioLab is a python library that enables traders to take advantage of the latest portfolio optimisation algorithms used by professio…☆169Updated 3 years ago
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆120Updated last year
- algorithmic trading using machine learning☆149Updated 2 weeks ago
- Implementation of the vanilla Deep Hedging engine☆280Updated 2 years ago
- Source Codes for the Book of Trading Strategies☆176Updated 3 years ago
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆251Updated 2 years ago
- Portfolio Construction and Risk Management book's Python code.☆114Updated last week
- A vectorized implementation of py_vollib, that supports numpy arrays and pandas Series and DataFrames.☆135Updated 7 months ago
- A Python implementation of the rough Bergomi model.☆121Updated 6 years ago
- Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)☆127Updated 4 years ago
- Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"☆121Updated last year
- Script for Calculating Implied Probability Distribution from Option Prices - The Quant's Playbook @ Quant Galore☆36Updated last year