satyapravin / StructuralEntropyLinks
Hedge long only portfolio using structural entropy
☆16Updated 3 years ago
Alternatives and similar repositories for StructuralEntropy
Users that are interested in StructuralEntropy are comparing it to the libraries listed below
Sorting:
- This repo is for my articles published on Medium.com☆16Updated 2 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
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆38Updated 5 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆72Updated 2 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆36Updated 2 years ago
- ☆28Updated last year
- ☆12Updated 2 years ago
- Time Series Prediction of Volume in LOB☆60Updated last year
- ☆19Updated 5 years ago
- ☆24Updated 3 years ago
- The notebook with the experiments to replicate and enhance the stock clustering proposed by Han(2022) for alogtrading, with KMeans Optimi…☆22Updated last year
- Package to build risk model for factor pricing model☆28Updated last year
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- a Python tool for downloading sharadar data from Quandl.☆10Updated 3 years ago
- A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading☆19Updated 4 years ago
- ☆25Updated 7 years ago
- ☆14Updated 3 years ago
- The goal of the project is to build algorithmic trading system.☆27Updated 5 years ago
- Momentum Trading Assistant (MTA) is a python program designed to replace a Momentum Trader using the Interactive Brokers Trader Workstati…☆11Updated 3 weeks ago
- Visualising correlations between different ETFs using network analytics and Plotly☆34Updated 3 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 3 years ago
- ☆24Updated 6 years ago
- ☆17Updated last month
- Find trading pairs with Machine Learning☆41Updated 4 years ago
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆15Updated 4 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆71Updated last year
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆14Updated 3 years ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆57Updated 4 years ago
- ☆42Updated 4 years ago