yangshengaa / dynamic_stock_industry_classificationLinks
Use graph-based analysis to re-classify stocks and to improve Markowitz portfolio optimization
☆19Updated 3 years ago
Alternatives and similar repositories for dynamic_stock_industry_classification
Users that are interested in dynamic_stock_industry_classification are comparing it to the libraries listed below
Sorting:
- This repo contains my reimplementation and improvement of DeepLOB model.☆30Updated 4 years ago
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆49Updated 7 months ago
- Trend Prediction for High Frequency Trading☆43Updated 2 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆13Updated 2 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆15Updated 4 years ago
- The source code for the paper☆24Updated 2 years ago
- Backtest result archive for Momentum Trading Strategies☆63Updated 6 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆34Updated 5 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆66Updated 2 years ago
- This is an internship project aiming to make Attribution Analysis for general equity funds in China market☆14Updated 7 years ago
- ☆19Updated 5 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆67Updated 3 months ago
- 【Framework】A Multi Factor Strategy based on XGboost, its my homework project in Tsinghua, the Introduction to Quantitative Finance, 2019 …☆16Updated 2 years ago
- Financial time-series forecasting has long been a challenging problem because of the inherently noisy and stochastic nature of the market…☆16Updated 4 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆19Updated 2 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- 一些研报的复现☆13Updated 6 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12Updated 4 years ago
- This trading strategy deploy the copula model to define the divergence of two correlated asset. The backtesting system is built on backtr…☆22Updated 3 years ago
- 1th: Kaggle Jane Street Market Prediction: AE MLP+xgb☆46Updated 3 years ago
- A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading☆18Updated 4 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆28Updated 2 years ago
- 多因子选股框架☆24Updated 4 years ago
- Stock risk premium prediction via FM/ EXT/ GBDT/ XGB/LBGM. Mengxuan Chen's graduation thesis at WHU.☆14Updated 5 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆50Updated 3 years ago
- 基于聚宽平台,探索分钟级的高频交易☆34Updated 5 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆13Updated 7 years ago
- ☆53Updated 4 years ago
- Code to support my Master's thesis☆20Updated last year