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.
☆40Updated 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:
- CS7641 Team project☆96Updated 5 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆65Updated 2 years ago
- Backtest result archive for Momentum Trading Strategies☆60Updated 6 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆84Updated 2 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- ☆24Updated 5 years ago
- Research Repo (Archive)☆74Updated 4 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆46Updated 3 years ago
- Find trading pairs with Machine Learning☆41Updated 4 years ago
- Notes on Advances in Financial Machine Learning☆80Updated 6 years ago
- ☆42Updated 2 years ago
- Mean Reversion Trading Strategy☆25Updated 4 years ago
- 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…☆66Updated last year
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 6 years ago
- Dynamic portfolio optimization☆24Updated last year
- ☆53Updated 6 months ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆63Updated 5 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆104Updated 6 years ago
- Pair Trading Strategy using Machine Learning written in Python☆119Updated 3 years ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- Delta hedging under SABR model☆33Updated last year
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆59Updated 2 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- ☆31Updated 2 years ago
- ☆63Updated 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 last year
- ☆25Updated 6 years ago
- Package to build risk model for factor pricing model☆28Updated 11 months ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago