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.☆32Updated 4 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☆25Updated 2 years ago
- Trend Prediction for High Frequency Trading☆43Updated 3 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆70Updated 6 months ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆35Updated 6 years ago
- Stock risk premium prediction via FM/ EXT/ GBDT/ XGB/LBGM. Mengxuan Chen's graduation thesis at WHU.☆15Updated 5 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆14Updated 3 years ago
- ☆12Updated 4 years ago
- my first factor-stock-selecting backtest function☆23Updated 5 years ago
- ☆19Updated 8 years ago
- ☆19Updated 5 years ago
- Mean-Variance Optimization using DL (pytorch)☆32Updated 3 years ago
- Backtest result archive for Momentum Trading Strategies☆64Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆33Updated last year
- LSTM stock prediction and backtesting☆14Updated 5 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆30Updated 2 years ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆37Updated 2 years ago
- This trading strategy deploy the copula model to define the divergence of two correlated asset. The backtesting system is built on backtr…☆23Updated 3 years ago
- This is an internship project aiming to make Attribution Analysis for general equity funds in China market☆14Updated 7 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
- Time-Series Momentum Strategies☆12Updated 7 years ago
- 基于机器学习的多因子研究框架☆14Updated 5 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 10 months ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆55Updated 2 years ago
- Machine learning approach to high frequency trading, MLP & RNN used☆22Updated 9 years ago
- A multi-factor stock selection model based on random forest with an average annualized yield of 33.74% from March 2014 to June 2017 when …☆17Updated 6 years ago
- Collection of numerical methods for high frequency data, in Python notebooks☆13Updated 4 years ago
- 多因子选股框架☆27Updated 5 years ago
- Risk estimation algorithms☆30Updated 7 years ago