Pinned Repositories
Accelerating-Dual-Momentum
Python implementation of Antonacci's GEM ("Global Equities Momentum") strategy
ace-versus-ace
MLB Statcast has performance data from every play at the major league level. I make a a head-to-head comparison of this data for Gerrit Cole and Jacob deGrom including hypothesis testing.
Adv_Fin_ML_Exercises
Experimental solutions to selected exercises from the book [Advances in Financial Machine Learning by Marcos Lopez De Prado]
AFML
All the answers for exercises from Advances in Financial Machine Learning by Dr Marco Lopez de Parodo.
Algorithmic-Trading
Quantitative Momentum Investing& Quantitative Value Investing Strategies
betting-against-beta
This project is based on the paper: Frazzini, A. & Pedersen, L. (2014). "Betting Against Beta."
Copula_Pairs_Project
This is a project that includes functions/class that implement a partner selection procedure that can be used in a trading strategy with Vine Copulas.
slow-momentum-fast-reversion
This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (https://arxiv.org/pdf/2105.13727.pdf).
trading-momentum-transformer
This code accompanies the the paper Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture (https://arxiv.org/pdf/2112.08534.pdf).
MilkwoodSF's Repositories
MilkwoodSF/ace-versus-ace
MLB Statcast has performance data from every play at the major league level. I make a a head-to-head comparison of this data for Gerrit Cole and Jacob deGrom including hypothesis testing.
MilkwoodSF/Research
Open sourced research notebooks by the QuantConnect team.
MilkwoodSF/Fin5330
Finance 5330 Financial Econometrics
MilkwoodSF/ML-Blog
Code and data for my blogs
MilkwoodSF/Strategies
MilkwoodSF/Algorithmic-Trading
Quantitative Momentum Investing& Quantitative Value Investing Strategies
MilkwoodSF/Quant-Finance
Some notebooks with powerful trading strategies.
MilkwoodSF/Financial_Markets_Applications
Python applications to financial markets
MilkwoodSF/pt_switzerland
Pairs-Trading with Swiss Stocks
MilkwoodSF/quantopian-1
Jupyter Notebooks from quantopian
MilkwoodSF/quantopian-lectures
These lectures are from quantopian
MilkwoodSF/goldman-sachs-quantitative-strategies-research-notes
Goldman Sachs - Quantitative Strategies Research Notes
MilkwoodSF/AFML
All the answers for exercises from Advances in Financial Machine Learning by Dr Marco Lopez de Parodo.
MilkwoodSF/finance-fork
Here you can find all the quantitative finance algorithms that I've worked on over the past year!
MilkwoodSF/energy_arbitrage_work_sample
MilkwoodSF/HiddenMarkovModel_TensorFlow
TensorFlow: Viterbi, Forward-Backward and Baum Welch with a Hidden Markov Model (HMM)
MilkwoodSF/Trading-Algorithms
This repository contains the customized trading algorithms that I have created using the Quantopian IDE.
MilkwoodSF/CTA-strategies
Backtest result archive for Momentum Trading Strategies
MilkwoodSF/stock-cluster-nlp