Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading
☆14Dec 11, 2022Updated 3 years ago
Alternatives and similar repositories for Pair_Trading_with_Box_Tiao_Decomposition
Users that are interested in Pair_Trading_with_Box_Tiao_Decomposition are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆27Dec 26, 2022Updated 3 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Sep 18, 2021Updated 5 years ago
- 基于机器学习的多因子研究框架☆14Jun 22, 2020Updated 6 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆17Dec 26, 2022Updated 3 years ago
- Trading Strategies based on the gap between Implied and Realized Volatility: A machine learning approach☆15Nov 10, 2019Updated 6 years ago
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 9 years ago
- I use a LSTM ( long short term memory model) model to predict the fluctuations of VIX index ( the index of 50ETF options), and trade t…☆14Apr 25, 2019Updated 7 years ago
- A main CTA backtesting system and several research of utilizing machine learning on asset pricing☆15Jul 31, 2026Updated 3 months ago
- We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cos…☆11Apr 8, 2020Updated 6 years ago
- Alpha研究平台☆21Sep 6, 2021Updated 5 years ago
- Backtesting the thesis paper entitled: Trading volatility Trading strategies based on the VIX term structure☆33Dec 20, 2022Updated 3 years ago
- Option Strategy for Futures☆20Jul 29, 2020Updated 6 years ago
- The Adaptive Multi-Factor (AMF) asset pricing model with the Groupwise Interpretable Basis Selection (GIBS) algorithm.☆10Dec 12, 2021Updated 4 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆76Mar 4, 2024Updated 2 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- 证券量化研究聚宽实现☆12Jan 31, 2020Updated 6 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆39Apr 24, 2023Updated 3 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆13May 30, 2021Updated 5 years ago
- This project is to download and analyze cryptocurrency option data available on Deribit via a public API. Data are collected on an Ubuntu…☆17Sep 17, 2021Updated 5 years ago
- A low frequency statistical arbitrage strategy☆21Feb 23, 2019Updated 7 years ago
- A tool used to analyze arbitrage opportunities in cryptocurrency option markets.☆13Sep 23, 2020Updated 6 years ago
- This project is to explore high-frequency model and strategy. You will expect high-frequency features mining, ml/dl models, and hf tradin…☆22May 19, 2021Updated 5 years ago
- 基于历史数据预测期货的波动率,用于期货的辅助分析,具备模型的核心代码☆10Nov 15, 2018Updated 7 years ago
- Tool to identify option arbitrage opportunities across different expiries.☆19Nov 6, 2024Updated 2 years ago
- GPU virtual machines on DigitalOcean Gradient AI • AdGet to production fast with high-performance AMD and NVIDIA GPUs you can spin up in seconds. The definition of operational simplicity.
- An equity analysis on momentum factor investing.☆11Oct 30, 2018Updated 8 years ago
- Phd repo☆18Jul 14, 2022Updated 4 years ago
- This project is to monitor the arbitrage opportunity of stocks, options and futures every second based on Put-Call parity in Chinese stoc…☆20Oct 20, 2018Updated 8 years ago
- High Frequency Analysis Based On Level-2 Data(Limit Order Book& Transaction Data)☆126May 20, 2024Updated 2 years ago
- Back test your trading strategy on historical prices on any financial markets (Forex/Stock and others).☆13Apr 4, 2023Updated 3 years ago
- my first factor-stock-selecting backtest function☆22Aug 15, 2020Updated 6 years ago
- Some Quant ideas in Backtrader☆12Jan 12, 2022Updated 4 years ago
- Testing trading signals of commodity futures☆19Apr 4, 2020Updated 6 years ago
- A first experiment on how to use deep-value investing strategies to find valuable stocks☆13Apr 15, 2022Updated 4 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Derivation of analytical expressions of optimal quotes for market making in options.☆25Jun 24, 2022Updated 4 years ago
- SABR Implied volatility asymptotics☆24May 22, 2020Updated 6 years ago
- 衍生品定价、对冲回测与主观交易工具☆15Dec 21, 2021Updated 4 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆51Feb 9, 2021Updated 5 years ago
- Algorithmic trading and backtests using backtrader☆13Nov 22, 2022Updated 3 years ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆61Mar 12, 2021Updated 5 years ago
- The official implementation of the paper "MTMD: Multi-Scale Temporal Memory Learning and Efficient Debiasing Framework for Stock Trend Fo…☆34Feb 28, 2025Updated last year