BayerSe / RealizedQuantitiesLinks
Estimation of realized quantities
☆18Updated 6 years ago
Alternatives and similar repositories for RealizedQuantities
Users that are interested in RealizedQuantities are comparing it to the libraries listed below
Sorting:
- ☆52Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- Risk estimation algorithms☆30Updated 7 years ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Updated 3 years ago
- Backtest result archive for Momentum Trading Strategies☆64Updated 6 years ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- Time Series Prediction of Volume in LOB☆58Updated last year
- ☆23Updated 5 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆32Updated last year
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- This is an internship project aiming to make Attribution Analysis for general equity funds in China market☆14Updated 7 years ago
- Non-Linear Covariance Shrinkage☆15Updated 3 years ago
- Gerber robust statistics for portfolio optimization☆60Updated 3 years ago
- Constrained and Unconstrained Risk Budgeting / Risk Parity Allocation in Python☆127Updated 2 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆123Updated 5 years ago
- create all-weather risk parity weights and back-test☆32Updated 3 years ago
- Volume-Synchronized Probability of Informed Trading☆113Updated 11 years ago
- Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB☆36Updated 4 years ago
- SABR Implied volatility asymptotics☆23Updated 5 years ago
- Notes on Advances in Financial Machine Learning☆80Updated 6 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- This repository hosts my reading notes for academic papers.☆89Updated 4 years ago
- DCC GARCH modeling in Python☆96Updated 5 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆89Updated 2 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆91Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆32Updated 4 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆133Updated 6 years ago