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alphamodel

Alpha model skeletons & examples

awesome-public-datasets

A topic-centric list of HQ open datasets.

bybit-smm

bybit simple market maker

capsnet

A PyTorch implementation of CapsNet based on NIPS 2017 paper "Dynamic Routing Between Capsules"

cointanalysis

Python library for cointegration analysis. It carries out cointegration test and evaluates spread between cointegrated time-series based on scikit-learn API.

credit-spread-prediction

Credit spread prediction using machine learning method for IAQF Competition

crypto

experiments with crypto trading

cvxportfolio

Portfolio optimization and simulation in Python

deep-learning-for-order-book-price-and-movement-predictions

Limit Order Book data analysis and modeling using LSTM network

deep-orderbook

Deep learning modelling of orderbooks

deeplob-deep-convolutional-neural-networks-for-limit-order-books

This jupyter notebook is used to demonstrate our recent work, "DeepLOB: Deep Convolutional Neural Networks for Limit Order Books", published in IEEE Transactions on Singal Processing. We use FI-2010 dataset and present how model architecture is constructed here. The FI-2010 is publicly avilable and interested readers can check out their paper.

econ_data

Python 3 examples of using economic data APIs and working with economic microdata. Includes bd CPS.

elitequant

A list of online resources for quantitative modeling, trading, portfolio management

fi2010

FI2010 Dataset (Personal use) https://etsin.fairdata.fi/dataset/73eb48d7-4dbc-4a10-a52a-da745b47a649

financial-models-numerical-methods

Collection of notebooks about quantitative finance, with interactive python code.

high-frequency-trading-model-with-ib

A high-frequency trading model using Interactive Brokers API with pairs and mean-reversion in Python

hmm_trading

Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden state patterns.

insider-trading

This program extracts insider trading data from the sec website and stores it in excel file for the specified time frame.

machinelearningstocks

Using python and scikit-learn to make stock predictions

mean_reverting_portfolio

midaspy

Mixed Data Sampling (MIDAS) Modeling in Python

misc

montecarlo

A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM

mth9879-market-microstructure-models

A collection of homeworks of market microstructure models.

mutual_information

Contains companion code for the Mutual Information YouTube channel

octodns

Tools for managing DNS across multiple providers

option-pricing

Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fourier).

orion

A machine learning library for detecting anomalies in signals.

pairs_trading

experiments with pair trading

price-bot