shuangology / Probability-of-Informed-TradingLinks
Implementation of PIN ( Probability of Informed trading) on A-Share daily public data (based on Yan Y, Zhang S. An improved estimation method and empirical properties of the probability of informed trading[J]. Journal of Banking & Finance, 2012, 36(2): 454-467.)
☆42Updated 5 years ago
Alternatives and similar repositories for Probability-of-Informed-Trading
Users that are interested in Probability-of-Informed-Trading are comparing it to the libraries listed below
Sorting:
- Code package to analyze high-frequency trading (HFT) races using financial-exchange message data, following Aquilina, Budish and O'Neill …☆48Updated 3 years ago
- Financial research data services for academics.☆99Updated last month
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆119Updated last year
- Fama-French models, idiosyncratic volatility, event study☆33Updated 3 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- ☆120Updated 7 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆94Updated last year
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆55Updated 5 years ago
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago
- Package to build risk model for factor pricing model☆27Updated last year
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆134Updated 6 years ago
- CS7641 Team project☆96Updated 5 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 7 years ago
- ☆24Updated 5 years ago
- Developing a trend following model using futures☆34Updated 2 years ago
- Baruch MFE 2019 Spring☆41Updated 5 years ago
- Dynamic portfolio optimization☆28Updated last year
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆40Updated last year
- KAIST(Korea Advanced Institute of Science and Technology) Financial Engineering( Derivatives) Course Code+@☆27Updated 3 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆69Updated last year
- Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB☆36Updated 4 years ago
- Bitmex market microstructure analytics☆23Updated 4 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆92Updated 4 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆29Updated 2 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated 8 months ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆56Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆92Updated 2 years ago
- ☆53Updated 4 years ago
- Implements different approaches to tactical and strategic asset allocation☆40Updated 10 months ago