https://github.com/longonly/quantitative-notebooks

Educational notebooks on quantitative finance, algorithmic trading, financial modelling and investment strategy
https://github.com/longonly/quantitative-notebooks

algorithmic-trading algotrading asset-allocation asset-management asset-pricing data-analysis data-science financial-analysis jupyter machine-learning notebook pairs-trading python quantitative-finance quantitative-trading stock-trading trading-algorithms trading-strategies

Last synced: about 1 month ago
JSON representation

Educational notebooks on quantitative finance, algorithmic trading, financial modelling and investment strategy

• Host: GitHub
• URL: https://github.com/longonly/quantitative-notebooks
• Owner: LongOnly
• License: apache-2.0
• Archived: true
• Created: 2018-10-01T01:59:06.000Z (about 6 years ago)
• Default Branch: master
• Last Pushed: 2020-07-02T00:17:39.000Z (over 4 years ago)
• Last Synced: 2024-09-27T23:22:20.056Z (about 1 month ago)
• Topics: algorithmic-trading, algotrading, asset-allocation, asset-management, asset-pricing, data-analysis, data-science, financial-analysis, jupyter, machine-learning, notebook, pairs-trading, python, quantitative-finance, quantitative-trading, stock-trading, trading-algorithms, trading-strategies
• Language: Jupyter Notebook
• Homepage:
• Size: 20.2 MB
• Stars: 1,008
• Watchers: 30
• Forks: 181
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

Awesome Lists containing this project

README

        
#### The main objective of this repo is idea generation! Some of these 'strategies' might not be appropriate for consumption ~~due to overfitting~~ (it's meant to be educational)

Dependencies: Numpy; Pandas; Matplotlib and Requests (for fetching Yahoo Finance data)

#### Difficulty

Moderate:

[ML Based Pairs Trading](DecisionTreeRegressors.ipynb) - A simple Machine Learning example, Decision Tree Regressors applied to the previous pair (also requires Scikit-Learn)

Basic:

[Long Only Pairs Trading](PairsTrading.ipynb) - A simple pairs trading strategy focused on buying the loser! Signal is given by rolling correlation

Introductory:

[Dynamic Asset Allocation & Diversification](AssetAllocation.ipynb) - Exploring geographical diversification and optimizing capital allocation (also requires Scipy)

Market data last updated at 2 July 2020

#### License

This code has been released under the [Apache 2.0 License](LICENSE)