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
- ☆21Updated 5 years ago
- ☆49Updated 3 years ago
- Contains all the Jupyter Notebooks used in our research☆15Updated 4 years ago
- A financial trading method using machine learning.☆60Updated last year
- ☆24Updated 6 years ago
- A low frequency statistical arbitrage strategy☆19Updated 6 years ago
- Package to build risk model for factor pricing model☆24Updated 7 months ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated 10 months ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆79Updated 2 years ago
- Time Series Prediction of Volume in LOB☆56Updated 10 months ago
- Backtest result archive for Momentum Trading Strategies☆50Updated 5 years ago
- AI based alpha research for trading☆46Updated 2 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆27Updated 6 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆75Updated 6 years ago
- Delta hedging under SABR model☆25Updated 9 months ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆45Updated 4 years ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆40Updated this week
- 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
- The goal of the project is to build algorithmic trading system.☆26Updated 4 years ago
- Baruch MFE 2019 Spring☆38Updated 4 years ago
- ☆36Updated 2 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
- ☆17Updated 8 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆33Updated 5 years ago
- These are trading results and arbitrage models from Southern China Center for Statistical Science (SC2S2), Sun Yat-sen University☆18Updated 6 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆65Updated 5 years ago