sprasadhpy / Crowded-trades-Sector-rotation
Implemented the paper Kinlaw, W., Kritzman, M., & Turkington, D. (2019). Crowded trades: Implications for sector rotation and factor timing. The Journal of Portfolio Management, 45(5), 46-57.
☆18Updated 3 years ago
Alternatives and similar repositories for Crowded-trades-Sector-rotation:
Users that are interested in Crowded-trades-Sector-rotation are comparing it to the libraries listed below
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆44Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆32Updated 5 years ago
- Calibrates microprice model to BitMEX quote data☆56Updated 3 years ago
- A financial trading method using machine learning.☆58Updated last year
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆32Updated 4 years ago
- ☆39Updated 3 years ago
- A model simulation shows how pairs trading could be used for two S&P500 traded stocks. It proofs that the strategy is successful on real…☆24Updated 4 years ago
- Notes on Advances in Financial Machine Learning☆76Updated 6 years ago
- Literature survey of order execution strategies implemented in python☆41Updated 4 years ago
- 多因子模型相关☆21Updated 3 years ago
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆27Updated 10 months ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 3 years ago
- ☆21Updated 5 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆43Updated 2 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- Implements different approaches to tactical and strategic asset allocation☆30Updated last month
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆57Updated 11 months ago
- Package based on the textbooks: Advances in Financial Machine Learning and Machine Learning for Asset Managers, by Marcos Lopez de Prado.☆25Updated 4 years ago
- Collection of indicators that I used in my strategies.☆51Updated last year
- Repo for HFT project in CMF☆28Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆79Updated last year
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆84Updated 4 years ago
- 基于基因表达式规划算法的因子挖掘☆29Updated 3 years ago
- ☆23Updated 2 years ago
- Baruch MFE 2019 Spring☆37Updated 4 years ago
- ☆10Updated 3 years ago
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆54Updated last year
- High Frequency Trading Strategies☆41Updated 7 years ago
- ☆46Updated 3 years ago