tianyu-z / Kritzman-Regime-Detection
A HMM application in Kritzman Regime Detection
☆12Updated 5 years ago
Alternatives and similar repositories for Kritzman-Regime-Detection:
Users that are interested in Kritzman-Regime-Detection are comparing it to the libraries listed below
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆13Updated 3 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆64Updated last year
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆30Updated last year
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆22Updated 3 years ago
- ☆19Updated 4 years ago
- Advancing in Financial Machine Learning☆16Updated 5 years ago
- Code for the paper "Hedging with linear regressions and neural networks"☆36Updated 3 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆26Updated 4 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆16Updated 2 years ago
- Machine Learning for Asset Managers☆18Updated 4 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆49Updated 3 years ago
- Some implementations from the paper robust risk aware reinforcement learning☆35Updated 3 years ago
- Algorithmic multi-greek hedges using Python☆18Updated 4 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆14Updated 6 years ago
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆20Updated 6 years ago
- A Deep Reinforcement Learning neural net for an original Multi-Dimensional Pairs Trading strategy is proposed☆21Updated 6 years ago
- A Deep Learning Framework for Neural Derivative Hedging☆30Updated 3 years ago
- Basic Limit Order Book functions☆21Updated 6 years ago
- Dynamic lead/lag inference for time series☆16Updated 6 years ago
- Implementation of a variety of Value-at-Risk backtests☆36Updated 5 years ago
- By means of stochastic volatility models☆43Updated 5 years ago
- Deep Reinforcement Learning applied to trading☆15Updated 6 years ago
- Models and programs developed as part of XTX Forecastin Challenge 2019☆26Updated last year
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 7 years ago
- Fama French model on a subset of Canadian Equity data with Python☆45Updated 5 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 5 years ago
- Portfolio optimization with cvxopt☆37Updated 2 months ago
- Exercises in 'Advances in Financial Machine Learning' by Lopez de Prado☆3Updated 2 years ago
- 2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)☆17Updated 5 years ago