richardknudsen / Pairs-Trading-A-Kalman-Filtering-ApproachLinks
Project completed during my studies at BGSE together with Travis Dunlop, Matthew Keys and Jordi Llorens
☆17Updated 7 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
Sorting:
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆14Updated 2 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆13Updated 3 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12Updated 4 years ago
- Alpha model skeletons & examples☆12Updated last year
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Implementation of the paper <Model-based Reinforcement Learning for Predictions and Control for Limit Order Books (Wei et al., J.P. Morga…☆12Updated 2 years ago
- We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cos…☆10Updated 5 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆23Updated 3 years ago
- ☆19Updated 8 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆16Updated 4 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆14Updated 2 years ago
- LeonardoBerti00 / Data-Normalization-for-Bilinear-Structures-in-High-Frequency-Financial-Time-series-BiN-TABLPytorch implementation of BIN-TABL from Data Normalization for Bilinear Structures in HF Financial Time-series☆12Updated last year
- ☆24Updated 6 years ago
- ☆19Updated 5 years ago
- Codes for the paper Stock Trading Volume Prediction with Dual-Process Meta-Learning accepted by ECML PKDD 2022☆35Updated 3 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Market making strategies and scientific papers☆13Updated 2 years ago
- A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading☆18Updated 4 years ago
- Codes for the paper 'Clustering Approaches for Global Minimum Variance Portfolio'☆22Updated 3 years ago
- Collection of numerical methods for high frequency data, in Python notebooks☆13Updated 4 years ago
- Code to support my Master's thesis☆21Updated 2 years ago
- Time-Series Momentum Strategies☆12Updated 7 years ago
- Reproduce the result of the paper "Deep Learning with Long Short-Term Memory Networks for Financial Market Prediction"☆19Updated 5 years ago
- 基于机器学习的多因子研究框架☆14Updated 5 years ago
- I use a LSTM ( long short term memory model) model to predict the fluctuations of VIX index ( the index of 50ETF options), and trade t…☆13Updated 6 years ago
- Non-Linear Covariance Shrinkage☆15Updated 3 years ago
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆34Updated 4 years ago
- Option Strategy for Futures☆15Updated 5 years ago
- Deep learning models for high-frequency financial data (limited order book)☆19Updated 6 years ago