richardknudsen / Pairs-Trading-A-Kalman-Filtering-Approach
Project completed during my studies at BGSE together with Travis Dunlop, Matthew Keys and Jordi Llorens
☆17Updated 6 years ago
Alternatives and similar repositories for Pairs-Trading-A-Kalman-Filtering-Approach:
Users that are interested in Pairs-Trading-A-Kalman-Filtering-Approach are comparing it to the libraries listed below
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆12Updated 2 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- ☆18Updated 8 years ago
- Deep Reinforcement Learning applied to trading☆15Updated 6 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- ☆19Updated 4 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 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…☆13Updated 3 years ago
- Backtesting a simple Buy Low Sell High Strategy☆9Updated 3 years ago
- ☆21Updated 5 years ago
- Market making strategies and scientific papers☆13Updated last year
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12Updated 3 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆36Updated last year
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆60Updated 2 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 4 years ago
- Dynamic lead/lag inference for time series☆16Updated 6 years ago
- Reproduce the result of the paper "Deep Learning with Long Short-Term Memory Networks for Financial Market Prediction"☆19Updated 4 years ago
- Advancing in Financial Machine Learning☆16Updated 5 years ago
- ☆24Updated 6 years ago
- We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cos…☆11Updated 5 years ago
- Stock Market Prediction on High-Frequency Data Using soft computing based AI models☆20Updated 8 months ago
- FactorLab is a python library that enables the discovery and analysis of alpha and risk factors used in the investment algorithm developm…☆20Updated 4 months ago
- Trend Prediction for High Frequency Trading☆40Updated 2 years ago
- A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading☆17Updated 4 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…☆18Updated 6 years ago
- Apply LASSO in High-Frequency-Trading☆9Updated 5 years ago
- ☆26Updated 8 months ago