shuangology / Machine-Learning-for-Asset-ManagersLinks
Implementation of code snippets and exercises in the book Machine Learning for Asset Managers written by Prof. Marcos López de Prado.
☆16Updated 5 years ago
Alternatives and similar repositories for Machine-Learning-for-Asset-Managers
Users that are interested in Machine-Learning-for-Asset-Managers are comparing it to the libraries listed below
Sorting:
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12Updated 4 years ago
- Market making strategies and scientific papers☆14Updated 2 years ago
- Option Strategy for Futures☆16Updated 5 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
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆24Updated 4 years ago
- ☆12Updated 2 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Updated 8 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆20Updated 3 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- Algorithmic multi-greek hedges using Python☆21Updated 5 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆31Updated 5 years ago
- Financial time-series forecasting has long been a challenging problem because of the inherently noisy and stochastic nature of the market…☆16Updated 4 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 3 years ago
- High Frequency Trading bot for 2019 Traders at MIT, HFT Case. I placed 4th in the HFT competition (2nd overall) out of 120.☆19Updated 6 years ago
- Modelling the implicit volatility, using multi-factor statistical models.☆20Updated 8 months ago
- Alpaca-based Order Book Inbalace Algorithm.☆12Updated 5 years ago
- The notebook with the experiments to replicate and enhance the stock clustering proposed by Han(2022) for alogtrading, with KMeans Optimi…☆21Updated last year
- Library for simulation and analysis of vanilla and exotic options☆34Updated 5 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- ☆19Updated 5 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆29Updated 4 years ago
- SABR Implied volatility asymptotics☆25Updated 5 years ago
- Contains all the Jupyter Notebooks used in our research☆15Updated 5 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- Building a High Frequency Trading Engine with Neural Networks☆12Updated 7 years ago
- ☆11Updated 5 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆17Updated 5 years ago
- ☆24Updated 5 years ago
- A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading☆19Updated 4 years ago