xic18 / High-frequency-prediction-of-stock-returnsLinks
High frequency prediction of Chinese stock returns. Orderbook data generation. High frequency factors construction.
☆14Updated 2 years ago
Alternatives and similar repositories for High-frequency-prediction-of-stock-returns
Users that are interested in High-frequency-prediction-of-stock-returns are comparing it to the libraries listed below
Sorting:
- ☆25Updated 2 years ago
- Enhance the gplearn package to support precise three-dimensional structured dimension genetic programming (GP), with a particular focus …☆33Updated 9 months ago
- 基于基因表达式规划算法的因子挖掘☆30Updated 3 years ago
- 非平衡订单流高频交易模型☆108Updated 6 years ago
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆62Updated 4 years ago
- High frequency factors based on order and trade data.☆50Updated last year
- 基于华泰研报对原alpha101代码进行简化和拓展☆45Updated 5 years ago
- 多因子模型相关☆22Updated 3 years ago
- High Frequency Analysis Based On Level-2 Data(Limit Order Book& Transaction Data)☆105Updated last year
- 改写了gplearn源码,原有的gplearn会把数据转为numpy,丢失了datetime和stockcode的原始信息。很难做截面的因子ic、ir分析,所以改动了相应的源码,使之可以做因子的截面ic分析。另外增加了时序函数和并行化框架ray的支持。☆18Updated last year
- 基于万矿平台,对alpha101因子进行测试并构造多因子策略☆92Updated 5 years ago
- Backtest Framework designed by YuminQuant&Yumin.☆18Updated 9 months ago
- my first factor-stock-selecting backtest function☆21Updated 4 years ago
- 改进gplearn,主要使用在股票公式挖掘☆95Updated 5 years ago
- Literature survey of order execution strategies implemented in python☆44Updated 4 years ago
- Demonstrative examples for developing quantitative and systematic strategies☆38Updated last year
- 沪深300指数增强模型☆82Updated 5 years ago
- High Frequency Trading Strategies☆45Updated 7 years ago
- Quant Studio Document☆24Updated 4 years ago
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆14Updated last year
- 根据20170925-华泰期货-CTA量化策略因子系列(二):动量因子研报进行复现☆26Updated 2 years ago
- 复现华泰证券《强化学习初探与DQN择时》研报中的DQN模型与效果☆34Updated 2 years ago
- Built a practical Multi-Factor Backtesting Framework from scratch based on Huatai Security's(One of China's largest sell side) financial …☆63Updated 2 years ago
- 升级后的gplearn, 支持包含时序和截面参数的自定义函数,例如均线☆60Updated last year
- Stock factor mining with CNN and GRU.☆57Updated 2 years ago
- A Higher-order HMM with EM algo.☆16Updated 3 years ago
- 基于streamlit的因子分析app☆68Updated last month
- AS model performance versus trivial delta for market-makers☆18Updated 3 years ago
- alpha投研示例☆74Updated last week
- 众人的因子回测框架 stock factor test☆26Updated last week