theo-dim / regime_detection_mlLinks
Regime detection in historical markets using Hidden Markov Models (HMM) and Support Vector Machines (SVM).
☆20Updated 3 years ago
Alternatives and similar repositories for regime_detection_ml
Users that are interested in regime_detection_ml are comparing it to the libraries listed below
Sorting:
- ☆42Updated 2 years ago
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆13Updated 3 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆65Updated 2 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆35Updated 2 years ago
- A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading☆18Updated 4 years ago
- Implements different approaches to tactical and strategic asset allocation☆39Updated 8 months ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- detecting regime of financial market☆40Updated 2 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆67Updated last year
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Backtest result archive for Momentum Trading Strategies☆63Updated 6 years ago
- ☆24Updated 5 years ago
- Research Repo (Archive)☆75Updated 4 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 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
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆47Updated 4 years ago
- ☆31Updated 2 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- Find trading pairs with Machine Learning☆41Updated 4 years ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆56Updated 4 years ago
- ☆27Updated 3 years ago
- CS7641 Team project☆96Updated 5 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago
- Financial applications focusing on portfolio management for Python☆16Updated 2 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.