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
Sorting:
- This trading strategy deploy the copula model to define the divergence of two correlated asset. The backtesting system is built on backtr…☆22May 31, 2022Updated 3 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆14Aug 28, 2022Updated 3 years ago
- ☆26Dec 17, 2018Updated 7 years ago
- Volatility trading☆22Oct 2, 2024Updated last year
- Pairs Trading in Python☆27Apr 25, 2021Updated 4 years ago
- SABR Implied volatility asymptotics☆25May 22, 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
- 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
- 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
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 8 years ago
- How to apply Deep Learning to create a mean reverting portfolio☆13Nov 9, 2020Updated 5 years ago
- Cryptocurrency Trading with Reinforcement Learning based on Backtrader☆46Jan 9, 2025Updated last year
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Nov 19, 2018Updated 7 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,…☆17Aug 10, 2024Updated last year
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆30Oct 21, 2018Updated 7 years ago
- Statistical Methods in Finance☆16Feb 2, 2022Updated 4 years ago
- Tool to identify option arbitrage opportunities across different expiries.☆17Nov 6, 2024Updated last year
- CS7641 Team project☆97Jul 16, 2020Updated 5 years ago
- Robust Statistical Arbitrage Strategies☆16Sep 29, 2021Updated 4 years ago
- This repository includes an introduction to statistical arbitrage pairs trading. Specifically, I discuss some of the research methods req…☆68Mar 6, 2024Updated 2 years ago
- Option Strategy for Futures☆17Jul 29, 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.☆77Sep 4, 2022Updated 3 years ago
- Data science blogs & guides in python and R. The contents covers wide range of topics like MLOps, automation, simulations, visualizations…☆17Updated this week
- 实行gamma scalping策略时的期权组合选择工具☆18Mar 10, 2019Updated 6 years ago
- Flexible quantitative trading framework☆55Jul 13, 2018Updated 7 years ago
- Regime detection in historical markets using Hidden Markov Models (HMM) and Support Vector Machines (SVM).☆30Nov 10, 2021Updated 4 years ago
- from for/if/else to my first option back-test function☆21Jul 8, 2020Updated 5 years ago
- experiments with pair trading☆335Dec 10, 2024Updated last year
- GitHub repository for some ML and DL platforms: Python Crash Course, Google Colab, VScode, PyCaret, Tensorflow, Pytorch, Huggingface☆24Sep 29, 2025Updated 5 months ago
- A powerful Laravel storage driver that enables seamless synchronization of files across multiple disks, with an integrated cache disk for…☆15Nov 11, 2025Updated 3 months ago
- ☆21Jun 22, 2020Updated 5 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
- This repository contains three ways to obtain arbitrage which are Dual Listing, Options and Statistical Arbitrage. These are projects in …☆1,045Aug 13, 2023Updated 2 years ago
- This project involves using a combination of statistics along with financial thoery to demonstrate a popular trading strategy used in equ…☆561Apr 1, 2024Updated last year
- 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…☆27Sep 9, 2020Updated 5 years ago
- Crypto Arbitrage Explorer: A Dash-powered Python tool for real-time visualization of cryptocurrency arbitrage opportunities across exchan…☆25Aug 10, 2023Updated 2 years ago
- Code of paper "Stock Price Prediction Incorporating Market Style Clustering" published in Cognitive Computation.☆26Aug 6, 2021Updated 4 years ago
- ☆30Apr 27, 2017Updated 8 years ago
- Tutorials about Machine Learning and Deep Learning☆30Nov 9, 2018Updated 7 years ago