theanh97 / Statistical-Arbitrage-Bayesian-Optimized-Kappa-Half-life-Pairs-Trading-Engine
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.
☆33Updated 8 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
- A financial trading method using machine learning.☆60Updated 2 years ago
- Baruch MFE 2019 Spring☆39Updated 4 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆27Updated 6 years ago
- Backtest result archive for Momentum Trading Strategies☆52Updated 6 years ago
- ☆36Updated 2 years ago
- Package to build risk model for factor pricing model☆24Updated 8 months ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆43Updated 2 years ago
- Implements different approaches to tactical and strategic asset allocation☆31Updated 3 months ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆79Updated 2 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
- ☆21Updated 5 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆70Updated 4 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆64Updated 5 years ago
- Mean Reversion Trading Strategy☆23Updated 3 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆101Updated 6 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- ☆24Updated 6 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆25Updated 2 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆61Updated last year
- ☆58Updated 2 years ago
- Various python scripts to introduce mean reversion concepts.☆22Updated 6 years ago
- A low frequency statistical arbitrage strategy☆19Updated 6 years ago
- Collection of notebooks and scripts related to financial engineering, quant-research and algo-trading.☆60Updated 8 months ago
- AI based alpha research for trading☆46Updated 2 years ago
- ☆44Updated 2 months ago
- ☆39Updated 3 years ago
- Contains all the Jupyter Notebooks used in our research☆15Updated 5 years ago
- Research Repo (Archive)☆73Updated 4 years ago
- CS7641 Team project☆93Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago