systamental / factorlab
FactorLab is a python library that enables the discovery and analysis of alpha and risk factors used in the investment algorithm development process
☆20Updated 2 months ago
Alternatives and similar repositories for factorlab:
Users that are interested in factorlab are comparing it to the libraries listed below
- ☆49Updated 3 years ago
- ☆24Updated 6 years ago
- ☆21Updated 5 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆79Updated 2 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- A financial trading method using machine learning.☆60Updated last year
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆27Updated 3 years ago
- Package to build risk model for factor pricing model☆24Updated 7 months ago
- Contains all the Jupyter Notebooks used in our research☆15Updated 5 years ago
- Time Series Prediction of Volume in LOB☆56Updated 11 months ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated 3 weeks ago
- A low frequency statistical arbitrage strategy☆19Updated 6 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated 11 months ago
- Backtest result archive for Momentum Trading Strategies☆50Updated 6 years ago
- AS model performance versus trivial delta for market-makers☆18Updated 3 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆27Updated 6 years ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆40Updated this week
- Collection of Models related to market making☆16Updated 4 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆13Updated 3 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆33Updated 5 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…☆25Updated 4 years ago
- ☆30Updated 3 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- Package based on the work of Dr Marcos Lopez de Prado regarding his research with respect to Advances in Financial Machine Learning☆33Updated 4 years ago
- Basic Limit Order Book functions☆21Updated 6 years ago