graizada

graizada's Stars

• nkaz001/hftbacktest

  A high-frequency trading and market-making backtesting and trading bot in Python and Rust, which accounts for limit orders, queue positions, and latencies, utilizing full tick data for trades and order books, with real-world crypto market-making examples for Binance Futures

  Language:Rust2.1k416

• tradytics/surpriver

  Find big moving stocks before they move using machine learning and anomaly detection

  Language:Python1.8k332

• maximemorariu/mpoints

  A machine learning tool that implements the class of state-dependent Hawkes processes.

  Language:Python319

• NehrenD/algo_trading_and_quant_strategies

  Supplemental Material for Algorithmic Trading and Quantitative Strategies

  Language:Jupyter Notebook26992

• monty-se/PINstimation

  A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992) and Easley et al. (1996); Multilayer PIN (MPIN) in Ersan (2016); Adjusted PIN (AdjPIN) in Duarte and Young (2009); and volume-synchronized PIN (VPIN) in Easley et al. (2011, 2012). Implementations of various estimation methods suggested in the literature are included. Additional compelling features comprise posterior probabilities, an implementation of an expectation-maximization (EM) algorithm, and PIN decomposition into layers, and into bad/good components. Versatile data simulation tools, and trade classification algorithms are among the supplementary utilities. The package provides fast, compact, and precise utilities to tackle the sophisticated, error-prone, and time-consuming estimation procedure of informed trading, and this solely using the raw trade-level data.

  Language:R366

• robertmartin8/MachineLearningStocks

  Using python and scikit-learn to make stock predictions

  Language:Python1.8k510

• poseidonravi/Momentum_Rank

  Language:Jupyter Notebook2

• tomaskrehlik/frequencyConnectedness

  Spectral decomposition of spillover measures

  Language:R9938

• tr8dr/tseries-patterns

  trend / momentum and other patterns in financial timeseries

  Language:Jupyter Notebook24471

• jwubn/market-microstructure

  Course projects of mathematical market microstructure.

  Language:Jupyter Notebook113

• andrewchbaker/BaGel

  Codes to replicate analysis in Baker & Gelbach (2020)

  Language:R119

• andrewchbaker/Data-Cleans

  This repo has code to do primary data cleaning for Compustat / Crsp from WRDS

  Language:R1913

• barunik/frequencyConnectedness

  Spectral decomposition of spillover measures

  Language:R92

• barunik/quantile_coherency_replication

  R code to replicate the figures in arXiv:1510.06946.

  Language:R31

• monkeylearn/hotel-review-analysis

  Sentiment analysis and aspect classification for hotel reviews using machine learning models with MonkeyLearn.

  Language:Python26983

• kafka399/Rproject

  R language code

  Language:R1920