I intend to collect the replicated codes that I have written, or write, based on the quant finance literature in this repository.The codes are written in JupyterNotebooks so you can see the results as well. Each notebook will be written in a way to be independently executable.
I will try my best to enhance the performance of each strategy, whenever I can.
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You can subscribe to my periodicals here. I will send you an update once a new strategy is added to the repo.
The code is written in the simplest way so it can be understood easily and clearly. It is not production level code and not optimized for performance.
** Numbers are based on the orders that they have been added to the repo **
1- Value and Momentum Everywhere
3- Predicting DJIA, NASDAQ And NYSE Index Prices Using ARIMA And VAR Models
6- Combining low volatility with momentum
9- Asset pricing: A tale of night and day
10- Bet against beta in HK Market
11- Technical Trading Strategies in Crypto
2- Stock Returns After Extreme Loss Events
5- Statistical arbitrage strategy based on VIX-to-market based signal
7- Stat Arb in Crude Oil Markets
8- Pair Trading
Feel free to fork the repo and make PRs to expand the repo. If you want me to do it, please send me an email with a link to the academic paper that you want me replicate.
If you have any questions or want to collaborate, feel free to send me an email at Here
The information provided in this repository is for educational purposes only. It is not intended to be used for real-world financial decision-making or trading. The authors and contributors of this repository are not liable for any losses or damages resulting from the use of this information. Use the information provided here at your own risk.
The MIT License (MIT) Copyright (c) 2024 Vahid Asghari Permission is hereby granted, free of charge, to any person obtaining a copy of this software and associated documentation files (the "Software"), to deal in the Software without restriction, including without limitation the rights to use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so, subject to the following conditions: The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software. THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
This GitHub repository is intended for research and educational purposes only. The content provided here, including any code, strategies, or analysis, is not intended to be used for real-world financial decision-making or trading.
Quantitative trading and financial markets are complex, and success is not guaranteed. The information in this repository may be incomplete, outdated, or not suitable for your specific needs. It is your responsibility to do your own research, seek professional advice, and make informed decisions when it comes to your personal finances and investments.
By using the content in this repository, you agree that the authors and contributors are not liable for any losses or damages resulting from the use of this information. This is a learning environment, and actual trading should only be undertaken with real capital after thorough research and risk management practices are in place.
This disclaimer applies to all content within this GitHub repository. Use the information provided here at your own risk.