yuba316 / Pair_Trading_with_Box_Tiao_DecompositionLinks
Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading
☆14Updated 2 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
Sorting:
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12Updated 4 years ago
- 基于机器学习的多因子研究框架☆14Updated 5 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆16Updated 2 years ago
- Market making strategies and scientific papers☆14Updated 2 years ago
- ☆19Updated 8 years ago
- My first high-frequency trading strategy using machine learning☆19Updated 3 years ago
- from for/if/else to my first option back-test function☆20Updated 5 years ago
- Collection of numerical methods for high frequency data, in Python notebooks☆13Updated 4 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆28Updated 4 years ago
- Quant finance Portal based on project BearAlpha. This project contains strategy back test framework with backtrader, database construct w…☆17Updated 3 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 7 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 4 years ago
- Pytorch implementation of deep learning models for financial time series forecasting using LOB☆18Updated 2 years ago
- ☆24Updated 5 years ago
- LeonardoBerti00 / Data-Normalization-for-Bilinear-Structures-in-High-Frequency-Financial-Time-series-BiN-TABLPytorch implementation of BIN-TABL from Data Normalization for Bilinear Structures in HF Financial Time-series☆12Updated last year
- High Frequency Market Making: Optimal Quoting☆13Updated 2 years ago
- Project completed during my studies at BGSE together with Travis Dunlop, Matthew Keys and Jordi Llorens☆17Updated 7 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆19Updated 2 years ago
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆17Updated 2 years ago
- Deep learning models for high-frequency financial data (limited order book)☆19Updated 6 years ago
- ☆19Updated 5 years ago
- Pytorch implementation of DeepLOB-ATT and DeepLOB-Seq2Seq from Multi Horizon Forecasting for Limit Order Books☆13Updated 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…☆22Updated 3 years ago
- This repo contains my reimplementation and improvement of DeepLOB model.☆30Updated 4 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
- Stock risk premium prediction via FM/ EXT/ GBDT/ XGB/LBGM. Mengxuan Chen's graduation thesis at WHU.☆15Updated 5 years ago
- Testing trading signals of commodity futures☆17Updated 5 years ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Updated 3 years ago