stevegee58 / JohansenCointegration
A C++ implementation of the Johansen Cointegration test
☆21Updated 2 years ago
Alternatives and similar repositories for JohansenCointegration:
Users that are interested in JohansenCointegration are comparing it to the libraries listed below
- a new simulator for statistical arbitrage☆15Updated 9 years ago
- general purpose backtesting platform, prevents look-ahead bias☆29Updated 13 years ago
- Proprietary trading solution for high-frequency trading (HFT) and statistical arbitrage algorithms☆87Updated 11 years ago
- CVXPY Portfolio Optimization Sample☆46Updated 8 years ago
- C++ trading client with Qt gui☆41Updated 10 years ago
- Code for researching and backtesting pairs trading☆24Updated 15 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆35Updated 3 years ago
- A Survey of Multi-Factor Models☆40Updated 9 years ago
- Platform for backtesting and live-trading intraday Stock/ETF/ELW using recurrent neural networks☆42Updated 7 years ago
- This project is to simulate the effects of high frequency trading on a stock. This is the code for the order book as well as 'traders' wh…☆25Updated 11 years ago
- A model for forecasting stock volatility☆22Updated 8 years ago
- Using Q-learning to better navigate orderbooks.☆21Updated 7 years ago
- Statistical arbitrage simulation, modeling and backtesting with Python.☆57Updated 8 years ago
- ☆35Updated 7 years ago
- A simple & fast bitcoin trading strategy backtesting solution.☆13Updated 9 years ago
- MATLAB toolbox for high frequency portfolio analysis, intraday backtesting and optimization☆29Updated 9 years ago
- Python library for high frequency portfolio analysis, intraday backtesting and optimization☆66Updated 7 years ago
- ☆12Updated last year
- Volume Weighted Average Price Optimal Execution☆41Updated 6 years ago
- ☆41Updated 10 years ago
- Python API for sentosa trading system☆42Updated 9 years ago
- C++(11) financial market orderbook and matching engine with Python extension module☆29Updated 4 years ago
- A python script to download daily futures market data from Interactive Brokers using IbPy☆29Updated 6 years ago
- ☆11Updated 9 years ago
- Run ib_insync with IBC Inside Docker Container☆22Updated 5 years ago
- Scala OrderBook Reconstructor for high-frequency order-flow data☆16Updated last year
- Probability of Backtest Overfitting☆48Updated 2 years ago
- Reinforcement learning environment for trading☆15Updated 7 years ago
- portable C++ API for Interactive Brokers TWS☆132Updated 5 years ago
- Algorithmic trading platform for multiple assets☆36Updated 8 years ago