BessieChen / Algorithmic-Portfolio-Management-in-R-programming-language
The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), and other active portfolio management strategies. The course implements volatility and price forecasting models, asset pricing and factor models, and portfolio optimization. The course will apply machine lear…
☆13Updated 6 years ago
Alternatives and similar repositories for Algorithmic-Portfolio-Management-in-R-programming-language
Users that are interested in Algorithmic-Portfolio-Management-in-R-programming-language are comparing it to the libraries listed below
Sorting:
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 2 months ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆63Updated 2 years ago
- ☆18Updated 8 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆32Updated 2 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆13Updated 3 years ago
- Algorithmic multi-greek hedges using Python☆20Updated 4 years ago
- Portfolio optimization with cvxopt☆38Updated 3 months ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆36Updated last year
- ☆24Updated 6 years ago
- ☆19Updated 4 years ago
- Basic Limit Order Book functions☆21Updated 7 years ago
- Covariance Matrix Estimation via Factor Models☆34Updated 6 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆26Updated 2 years ago
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆18Updated 4 years ago
- Construction of local volatility surface by using SABR☆29Updated 8 years ago
- ☆17Updated 7 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆44Updated 2 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆23Updated 3 years ago
- Development space for PhD in Finance☆33Updated 5 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆14Updated 3 years ago
- Short-term momentum trading strategy implemented for the lecture "Systematic risk premia strategies traded at hedge funds" at University …☆41Updated 3 years ago
- Calibration of a Surface SVI☆12Updated 6 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆25Updated last year
- SABR Implied volatility asymptotics☆22Updated 4 years ago