duggar Goto Github PK

deep-orderbook

Deep learning modelling of orderbooks

deep-portfolio-management

Source code for the blog post on the evolution of the asset allocation methods

detzel-novy-marx-velikov

Replication code for Detzel, Novy-Marx, and Velikov (2022), Model Comparison with Transaction Costs.

eigen-portfolio-construction

equity-risk-model

Attribution and optimisation using a multi-factor equity risk model.

equity_statarb

Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee

ethereum-economic-model

A modular dynamical-systems model of Ethereum's validator economics.

eventstudy

Event Study package is an open-source python project created to facilitate the computation of financial event study analysis.

exercise

factorlab

FactorLab is a python library that enables the discovery and analysis of alpha and risk factors used in the investment algorithm development process

factor_analysis

Comparative factor analysis of growth and value funds using Fama-French 3 factor models. This analysis compares two mutual funds which are categorized as growth (T. Rowe Price Institutional Large Cap Core Growth Fund) and value (Vanguard High Dividend Yield Index Fund).

fastback.jl

Blazing fast Julia backtester.

ffn

ffn - a financial function library for Python

financeops

Research in investment finance with Python Notebooks

financephd

Development space for PhD in Finance

financepy

A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and credit derivatives.

financial-models-numerical-methods

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

financialriskmanagement

A simple repo for a financial risk management application

flowrisk

A Python Implementation of Measures for Order Flow Risk, e.g. VPIN

fml

Repo for my work with machine learning in Indian Stock Market. (Help from mlfinlab repo and Advances in Financial MAchine learning book)

fx_systrade

FX system trade simulation programs using maching learning methods

gamma-ray

High frequency trading bot for crypto currencies

gridtrading

high-frequency grid trading strategy backtesting for binance futures

harmonicpattern

Detection of Geometric Fibonacci Harmonic Patterns

harmonicpatterns

A library written in Python to search harmonic patterns automatically.

hft-market-making

Implementation of HFT backtesting simulator and Stoikov strategy

hft-price-prediction

A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.

hftbacktest

A high-frequency trading and market-making backtesting tool accounts for limit orders, queue positions, and latencies, utilizing full tick data for trades and order books.

hftrader

HFTrader is fully automated high frequency trading system

hf_micro_research

This project is to explore high-frequency model and strategy. You will expect high-frequency features mining, ml/dl models, and hf trading strategies.