stevegee58 / JohansenCointegration
A C++ implementation of the Johansen Cointegration test
☆19Updated 2 years ago
Related projects ⓘ
Alternatives and complementary repositories for JohansenCointegration
- a new simulator for statistical arbitrage☆14Updated 9 years ago
- A simple & fast bitcoin trading strategy backtesting solution.☆13Updated 8 years ago
- general purpose backtesting platform, prevents look-ahead bias☆30Updated 13 years ago
- Proprietary trading solution for high-frequency trading (HFT) and statistical arbitrage algorithms☆83Updated 11 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…☆26Updated 11 years ago
- MATLAB toolbox for high frequency portfolio analysis, intraday backtesting and optimization☆29Updated 8 years ago
- thOth is an open-source high frequency trading library in C++☆30Updated 9 years ago
- Scala OrderBook Reconstructor for high-frequency order-flow data☆16Updated last year
- Algorithmic trading platform for multiple assets☆35Updated 7 years ago
- C++ trading client with Qt gui☆40Updated 9 years ago
- Blog system for quant☆39Updated 8 years ago
- A Survey of Multi-Factor Models☆41Updated 9 years ago
- Backtesting tool on tick data☆10Updated 7 years ago
- A Python toolkit for high-frequency trade research.☆39Updated 6 years ago
- Replication of study Avellaneda, Marco, and Sasha Stoikov: High-frequency trading in a limit order book. Quantitative Finance 8.3 (2008):…☆88Updated 7 years ago
- Statistical arbitrage simulation, modeling and backtesting with Python.☆55Updated 8 years ago
- Python library for high frequency portfolio analysis, intraday backtesting and optimization☆65Updated 7 years ago
- Code for researching and backtesting pairs trading☆24Updated 14 years ago
- Zipline Extensions for QuantRocket☆18Updated 4 years ago
- Algo execution engine☆89Updated 8 years ago
- The strategy-backtesting repository will hold the event driven python backtester. This program will test algorithmic strategies and pro…☆17Updated 8 years ago
- Platform for backtesting and live-trading intraday Stock/ETF/ELW using recurrent neural networks☆41Updated 7 years ago
- Big Data course project (EPFL) - Trading strategies based on order book☆30Updated 10 years ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆65Updated 8 years ago
- ☆33Updated 6 years ago
- Python API for sentosa trading system☆42Updated 9 years ago
- Using Q-learning to better navigate orderbooks.☆21Updated 6 years ago
- R package for fitting the partially cointegrated model☆14Updated last year