rbeeli / short-term_momentum_strategyLinks
Short-term momentum trading strategy implemented for the lecture "Systematic risk premia strategies traded at hedge funds" at University of Zurich, FS 2018.
☆42Updated 3 years ago
Alternatives and similar repositories for short-term_momentum_strategy
Users that are interested in short-term_momentum_strategy are comparing it to the libraries listed below
Sorting:
- ☆25Updated 6 years ago
- ☆42Updated 2 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆66Updated 2 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆66Updated last year
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Backtest result archive for Momentum Trading Strategies☆61Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 6 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- This project implements an advanced pairs trading strategy using statistical arbitrage techniques. It leverages Bayesian optimization to …☆40Updated last year
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆132Updated 6 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆64Updated 5 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆84Updated 2 years ago
- Dispersion Trading using Options☆33Updated 8 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆35Updated 2 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆46Updated 3 years ago
- Mean Reversion Trading Strategy☆26Updated 4 years ago
- Different quantitative trading models research☆53Updated 7 months ago
- Code for the paper "Hedging with linear regressions and neural networks"☆37Updated 4 years ago
- ☆40Updated 4 years ago
- quantitative asset allocation strategy☆32Updated 6 months ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆55Updated 4 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- ☆31Updated 2 years ago
- Research Repo (Archive)☆74Updated 4 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Implements different approaches to tactical and strategic asset allocation☆38Updated 7 months ago
- Portfolio optimization with cvxopt☆40Updated 6 months ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆105Updated 6 years ago