theanh97 / Statistical-Arbitrage-Bayesian-Optimized-Kappa-Half-life-Pairs-Trading-EngineView on GitHub
This project implements an advanced pairs trading strategy using statistical arbitrage techniques. It leverages Bayesian optimization to fine-tune Kappa and Half-life parameters, enhancing the mean-reversion trading approach. The system includes comprehensive backtesting, risk management, and performance analysis tools.
☆44Jul 14, 2024Updated last year
Alternatives and similar repositories for Statistical-Arbitrage-Bayesian-Optimized-Kappa-Half-life-Pairs-Trading-Engine
Users that are interested in Statistical-Arbitrage-Bayesian-Optimized-Kappa-Half-life-Pairs-Trading-Engine are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆15Aug 28, 2022Updated 3 years ago
- How to apply Deep Learning to create a mean reverting portfolio☆14Nov 9, 2020Updated 5 years ago
- A bot for an algorithmic trading competition that trades options using statistical arbitrage and delta and vega hedging☆12Jan 27, 2018Updated 8 years ago
- ☆30Dec 17, 2018Updated 7 years ago
- Pairs Trading in Python☆28Apr 25, 2021Updated 5 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 9 years ago
- Cryptocurrency Trading with Reinforcement Learning based on Backtrader☆47Jan 9, 2025Updated last year
- Volatility trading☆22Apr 18, 2026Updated last month
- High-frequency statistical arbitrage☆262Jul 30, 2023Updated 2 years ago
- CS7641 Team project☆99Jul 16, 2020Updated 5 years ago
- Tool to identify option arbitrage opportunities across different expiries.☆19Nov 6, 2024Updated last year
- GitHub repository for some ML and DL platforms: Python Crash Course, Google Colab, VScode, PyCaret, Tensorflow, Pytorch, Huggingface☆24Sep 29, 2025Updated 7 months ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆72Mar 4, 2024Updated 2 years ago
- Built a pairs trading strategy in emerging markets using a rolling Kalman-filter beta and spread half-life, with z-score position sizing,…☆18Aug 10, 2024Updated last year
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Data science blogs & guides in python and R. The contents covers wide range of topics like MLOps, automation, simulations, visualizations…☆17Apr 21, 2026Updated 3 weeks ago
- SABR Implied volatility asymptotics☆24May 22, 2020Updated 5 years ago
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆80Sep 4, 2022Updated 3 years ago
- This is a demonstration on how to query for FREE financial data. Feel free to use my scripts for your use cases!☆11May 23, 2022Updated 3 years ago
- Regime detection in historical markets using Hidden Markov Models (HMM) and Support Vector Machines (SVM).☆34Nov 10, 2021Updated 4 years ago
- 实行gamma scalping策略时的期权组合选择工具☆19Mar 10, 2019Updated 7 years ago
- GitHub repository for deep learning courses owned and maintained by prof. Jahangiry☆24Mar 31, 2026Updated last month
- GitHub repository for deep forecasting courses owned and maintained by prof. Jahangiry☆50Apr 15, 2026Updated last month
- ☆44Dec 8, 2022Updated 3 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Option Strategy for Futures☆19Jul 29, 2020Updated 5 years ago
- Robust Statistical Arbitrage Strategies☆16Sep 29, 2021Updated 4 years ago
- Statistical Methods in Finance☆19Feb 2, 2022Updated 4 years ago
- from for/if/else to my first option back-test function☆21Jul 8, 2020Updated 5 years ago
- REST full SimServer☆22Oct 27, 2022Updated 3 years ago
- experiments with pair trading☆342Dec 10, 2024Updated last year
- Flexible quantitative trading framework☆55Jul 13, 2018Updated 7 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆38Oct 3, 2018Updated 7 years ago
- Dr Paul Bilokon's MSc at the University of Oxford: Bayesian methods for solving estimation and forecasting problems in the high-frequency…☆24May 29, 2024Updated last year
- End-to-end encrypted cloud storage - Proton Drive • AdSpecial offer: 40% Off Yearly / 80% Off First Month. Protect your most important files, photos, and documents from prying eyes.
- This repository contains three ways to obtain arbitrage which are Dual Listing, Options and Statistical Arbitrage. These are projects in …☆1,078Aug 13, 2023Updated 2 years ago
- Robôs Investidores para Metatrader 5, usando a estratégia de Pivot Point feito em python☆14Aug 27, 2021Updated 4 years ago
- Brazilian financial market data sources☆13Updated this week
- R & Python Codes for Computational Finance☆16Apr 21, 2026Updated 3 weeks ago
- Python implementation of a sample covariance matrix shrinkage experiment☆32Dec 2, 2013Updated 12 years ago
- Implementation of Feature Saliency Hidden Markov Model (Adams, et al, 2016)☆13Dec 8, 2022Updated 3 years ago
- Code of paper "Stock Price Prediction Incorporating Market Style Clustering" published in Cognitive Computation.☆26Aug 6, 2021Updated 4 years ago