A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading

Python Backtesting library for trading strategies

This is a collection of code samples aimed at illustrating temporal parallelization methods for sequential data.

🔎 📈 🐍 💰 Backtest trading strategies in Python.

Kalman Filter book using Jupyter Notebook. Focuses on building intuition and experience, not formal proofs. Includes Kalman filters,extended Kalman filters, unscented Kalman filters, particle filte…

A ThinkScript Chart Study for the Options Chain

Navigate SEC Edgar data in Python

Differentiable Finite Element Method with JAX

Automatic Functional Differentiation in JAX

Delta hedging under SABR model

PyTorch-based framework for Deep Hedging

Study resources for quantitative finance

Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.

System for Using Volatility Surfaces to Trade Options - The Quant's Playbook @ Quant Galore

Jupyter notebooks implementing Finance projects

Large Language Model (LLM) Systems Paper List

Implements Path Shadowing Monte Carlo (PSMC).

Code for the paper Volatility is (mostly) path-dependent

Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.

An offical implementation of PatchTST: "A Time Series is Worth 64 Words: Long-term Forecasting with Transformers." (ICLR 2023) https://arxiv.org/abs/2211.14730

🔥Highlighting the top ML papers every week.

Structured Text Generation

Port of OpenAI's Whisper model in C/C

Use machine learning, deep learning, and GAN to predict SPY intraday movement.

使用机器学习进行股票预测并指导短线(预测未来3日股价)交易。

Intraday 1 minute pricing data for S&P 500, NIKKEI 225, DAX 30 and more 📈 💶

An unnecessarily tiny implementation of GPT-2 in NumPy.

A method to fix GPT-3 after deployment with user feedback, without re-training.