shuangology / Probability-of-Informed-Trading
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.)
☆33Updated 4 years ago
Related projects ⓘ
Alternatives and complementary repositories for Probability-of-Informed-Trading
- Code package to analyze high-frequency trading (HFT) races using financial-exchange message data, following Aquilina, Budish and O'Neill …☆45Updated 3 years ago
- Fama-French models, idiosyncratic volatility, event study☆28Updated 2 years ago
- Financial research data services for academics.☆78Updated 2 months ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆14Updated 2 years ago
- Baruch MFE 2019 Spring☆35Updated 4 years ago
- Package to build risk model for factor pricing model☆24Updated 3 months ago
- An open source library for the extraction of Federal Reserve Data.☆21Updated last year
- Financial Markets Microstructure course (UCPH, Masters in Econ)☆18Updated 2 years ago
- ☆46Updated 3 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆11Updated last year
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆45Updated 2 years ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆34Updated 3 weeks ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆49Updated 3 years ago
- ☆106Updated 6 years ago
- Python package designed to construct and replicate datasets from Ken French's online library by accessing WRDS remotely through its cloud…☆37Updated 4 months ago
- Developing a trend following model using futures☆31Updated last year
- Backtest result archive for Momentum Trading Strategies☆46Updated 5 years ago
- Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB☆35Updated 3 years ago
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆50Updated 4 years ago
- Dynamic portfolio optimization☆17Updated 11 months ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆61Updated 2 years ago
- This repository hosts my reading notes for academic papers.☆77Updated 3 years ago
- Calculate U.S. equity (portfolio) characteristics☆82Updated 3 months ago
- A financial trading method using machine learning.☆58Updated last year
- Covariance Matrix Estimation via Factor Models☆33Updated 5 years ago
- ☆15Updated 6 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆24Updated 6 months ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆59Updated 4 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆34Updated 7 months ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆16Updated 5 years ago