shilewenuw / DeepMeanReversionLinks
How to apply Deep Learning to create a mean reverting portfolio
☆11Updated 4 years ago
Alternatives and similar repositories for DeepMeanReversion
Users that are interested in DeepMeanReversion are comparing it to the libraries listed below
Sorting:
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- Trading Strategy on S&P500 with different method (Linear Regression, XGBOOST, LSTM, HMM☆10Updated 5 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 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…☆19Updated 6 years ago
- ☆24Updated 6 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- Mean Reversion Trading Strategy☆25Updated 4 years ago
- Market making strategies and scientific papers☆13Updated last year
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago
- Trend Prediction for High Frequency Trading☆41Updated 2 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆64Updated 2 years ago
- ☆23Updated 5 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- In this repository, the goal is to predict the tick direction of a stock based on its current order book and trade data. A LSTM Neural Ne…☆19Updated 4 years ago
- A Sharpe ratio optimised decoder-only TFT based Momentum Transformer and LSTM Deep Momentum Network trading model using FinBERT breaking …☆23Updated 2 years ago
- ☆18Updated 8 years ago
- ☆12Updated 4 years ago
- Develop about 200 alpha factors from securities report etc, Grid Search/Random Search/Particle Swarm Optimization to improve factors perf…☆20Updated 6 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- ☆11Updated 9 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- Backtest result archive for Momentum Trading Strategies☆58Updated 6 years ago
- A constant proportion portfolio insurance (CPPI) trading algorithm on top of Alpaca's Trading API.☆13Updated 3 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 4 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- Pairs Trading in CTA trending strategy backtesting, by iterateing parameters on the last 6 months and pick the optimal one, then start tr…☆11Updated 7 years ago
- ☆16Updated 4 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Updated 3 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