wjsbjl's repositories
simple-backtest
简易回测系统，主要为遗传规划生成因子准备。
use-gplearn-to-generate-CTA-factor
本文通过gplearn模型，结合遗传算法中的遗传规划方法生成因子。这里因子生成基于simple-backtest中的简单回测系统，主要针对股指期货操作。
alphagen
Generating sets of formulaic alpha (predictive) stock factors via reinforcement learning.
The-multivariate-Variance-Gamma-model-basket-option-pricing-and-calibration
option pricing, Monte Carlo, fsolve, default option, variance gamma, financial derivatives, replication
torchquantum
TorchQuantum is a backtesting framework that integrates the structure of PyTorch and WorldQuant's Operator for efficient quantitative financial analysis.
snowball-option-pricing
snowball option pricing, Monte Carlo, PDE, Greeks
A-Scalable-Timing-Strategy-of-How-to-build-a-high-frequency-strategy-with-700-annual-returns-
IF1405, IF1406, Scalable Timing Strategy, high frequency trading, probit, adaboost, machine learning, quant backtest
Self-learning-Computer-Science
the resources I use to learn computer science in my spare time
PythonMatchingEngine
High performance trading Matching Engine / Market Simulator using Level 3 Market Data for realistic simulation of High Frequency Trading Strategies
DeepLOB-Deep-Convolutional-Neural-Networks-for-Limit-Order-Books
This jupyter notebook is used to demonstrate our recent work, "DeepLOB: Deep Convolutional Neural Networks for Limit Order Books", published in IEEE Transactions on Singal Processing. We use FI-2010 dataset and present how model architecture is constructed here. The FI-2010 is publicly avilable and interested readers can check out their paper.