quantrocket-codeload / pairs-pipelineLinks
Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for cointegration using the Johansen test, then runs in-sample backtests on all cointegrating pairs, then runs an out-of-sample backtest on the 5 best performing pairs.
☆35Updated last year
Alternatives and similar repositories for pairs-pipeline
Users that are interested in pairs-pipeline are comparing it to the libraries listed below
Sorting:
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆67Updated 2 years ago
- ☆25Updated 7 years ago
- Backtest result archive for Momentum Trading Strategies☆64Updated 6 years ago
- Various python scripts to introduce mean reversion concepts.☆22Updated 7 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆90Updated 2 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Research Repo (Archive)☆75Updated 4 years ago
- ☆41Updated 4 years ago
- Pair Trading Strategy using Machine Learning written in Python☆121Updated 3 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆133Updated 6 years ago
- ☆44Updated 2 years 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
- Time Series Prediction of Volume in LOB☆58Updated last year
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆54Updated 5 years ago
- Find trading pairs with Machine Learning☆41Updated 4 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆68Updated last year
- CS7641 Team project☆96Updated 5 years ago
- Mean Reversion Trading Strategy☆29Updated 4 years ago
- AI based alpha research for trading☆49Updated 3 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆32Updated last year
- Dispersion Trading using Options☆33Updated 8 years ago
- ☆65Updated 2 years ago
- ☆24Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆91Updated 4 years ago
- Notes on Advances in Financial Machine Learning☆81Updated 6 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆67Updated 5 years ago