theanh97 / Statistical-Arbitrage-Bayesian-Optimized-Kappa-Half-life-Pairs-Trading-EngineLinks
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.
☆38Updated 10 months ago
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
Sorting:
- Backtest result archive for Momentum Trading Strategies☆58Updated 6 years ago
- Package to build risk model for factor pricing model☆26Updated 10 months ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆64Updated 2 years ago
- Collection of notebooks and scripts related to financial engineering, quant-research and algo-trading.☆65Updated 10 months ago
- ☆41Updated 2 years ago
- ☆23Updated 5 years ago
- Find trading pairs with Machine Learning☆41Updated 4 years ago
- ☆40Updated 4 years ago
- Delta hedging under SABR model☆32Updated last year
- Research Repo (Archive)☆73Updated 4 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆44Updated 2 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
- Time Series Prediction of Volume in LOB☆57Updated last year
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆36Updated last year
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- Short-term momentum trading strategy implemented for the lecture "Systematic risk premia strategies traded at hedge funds" at University …☆41Updated 3 years ago
- Dynamic portfolio optimization☆22Updated last year
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆70Updated 5 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆64Updated last year
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆81Updated 2 years ago
- Dispersion Trading using Options☆33Updated 8 years ago
- CS7641 Team project☆95Updated 4 years ago
- ☆24Updated 6 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆34Updated 5 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆102Updated 6 years ago
- Portfolio optimization with cvxopt☆38Updated 4 months ago
- On this repository you'll find tools used for Quantitative Analysis and some examples such: MonteCarlo Simulations, Linear Regression, Ge…☆27Updated 2 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago