ram-ki / 101_formulaic_alphas
Implemention of 101 formulaic alphas using qstrader
☆25Updated 2 years ago
Alternatives and similar repositories for 101_formulaic_alphas:
Users that are interested in 101_formulaic_alphas 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
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆62Updated last year
- A financial trading method using machine learning.☆60Updated 2 years ago
- Custom Loss functions for asset return prediction with deep learning regression☆34Updated 2 years ago
- Delta hedging under SABR model☆30Updated 11 months ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆80Updated 2 years ago
- High Frequency Trading Strategies☆44Updated 7 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆44Updated 5 years ago
- Literature survey of order execution strategies implemented in python☆44Updated 4 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆43Updated last year
- ☆19Updated 4 years ago
- ☆37Updated 2 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆33Updated 5 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- ☆40Updated 4 years ago
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆29Updated last year
- TorchQuantum is a backtesting framework that integrates the structure of PyTorch and WorldQuant's Operator for efficient quantitative fin…☆41Updated last year
- Backtest result archive for Momentum Trading Strategies☆53Updated 6 years ago
- The notebook with the experiments to replicate and enhance the stock clustering proposed by Han(2022) for alogtrading, with KMeans Optimi…☆13Updated last year
- Collection of indicators that I used in my strategies.☆52Updated 3 weeks ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆30Updated last year
- ☆49Updated 4 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- public version of MLFINLAB from Hudson-Thames☆23Updated 3 years ago
- Mean Reversion Trading Strategy☆24Updated 4 years ago
- Implements different approaches to tactical and strategic asset allocation☆31Updated 4 months ago
- This repository hosts my reading notes for academic papers.☆83Updated 3 years ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆37Updated last year
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- High Frequency Analysis Based On Level-2 Data（Limit Order Book& Transaction Data)☆100Updated 11 months ago