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high-frequency-trading

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Manudecara / Algo-Trading

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This is my github repository where I post trading strategies, tutorials and research on quantitative finance with R, C++ and Python. Some of the topics explored include: machine learning, high frequency trading, NLP, technical analysis and more. Hope you enjoy it!

nlp machine-learning r deep-learning sentiment-analysis trading algorithms cpp data-analysis trading-strategies quantitative-finance technical-analysis fundamental-analysis high-frequency-trading quant-finance market-microstructure-analysis
  • Updated Sep 15, 2021
  • R

RasLillebo / HighFrequencyEconometrics-HAR-vs.-Neural-Networks

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Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performance of the two models (HAR & Neural Networks). - The data used in this project is 2 years worth of intraday 5-minute realized volatility (See: Sheppard, Patton, Liu, 2012) from 20 Dow Jones stocks, that has bee…

neural-network heterogeneous-network heterogeneity high-frequency-trading
  • Updated Sep 11, 2020
  • R

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