BayerSe / RealizedQuantitiesLinks
Estimation of realized quantities
☆18Updated 5 years ago
Alternatives and similar repositories for RealizedQuantities
Users that are interested in RealizedQuantities are comparing it to the libraries listed below
Sorting:
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 years ago
- ☆18Updated 8 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- SABR Implied volatility asymptotics☆22Updated 5 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Literature survey of order execution strategies implemented in python☆44Updated 4 years ago
- ☆50Updated 4 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- High Frequency Jump Prediction Project☆36Updated 5 years ago
- ☆51Updated 8 years ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆24Updated 3 years ago
- Pricing the Term Structure with Linear Regressions☆37Updated 7 years ago
- Multi-Factor model with regression method☆9Updated 6 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆66Updated last month
- Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB☆36Updated 4 years ago
- This is an internship project aiming to make Attribution Analysis for general equity funds in China market☆14Updated 6 years ago
- Code for the paper Volatility is (mostly) path-dependent☆62Updated last year
- DCC-GARCH(1,1) for multivariate normal distribution.☆61Updated last year
- DCC GARCH modeling in Python☆94Updated 5 years ago
- Risk estimation algorithms☆30Updated 6 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
- Non-Linear Covariance Shrinkage☆14Updated 3 years ago
- Covariance Matrix Estimation via Factor Models☆35Updated 6 years ago
- Risk Parity and Factors Model on multi asseet management☆22Updated 4 years ago
- ☆20Updated 5 months ago
- ☆24Updated 5 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆47Updated 5 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 2 months ago