crperez

FinBERT_feat_eng_for_Momentum_Transformer

A Sharpe ratio optimised decoder-only TFT based Momentum Transformer and LSTM Deep Momentum Network trading model using FinBERT breaking financial news sentiment and novel price action and VWAP proximity oscillators

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).

Stock-TFT

Stock price prediction using a Temporal Fusion Transformer

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).

weighted-likelihood-filter