BessieChen / Algorithmic-Portfolio-Management-in-R-programming-languageLinks
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
- Algorithmic multi-greek hedges using Python☆20Updated 4 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 3 months ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆33Updated 2 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 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
- In this project, I explore various machine learning techniques including Principal Component Analysis (PCA), Support Vector Machines (SVM…☆10Updated 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…☆24Updated 3 years ago
- Construction of local volatility surface by using SABR☆29Updated 8 years ago
- SABR Implied volatility asymptotics☆22Updated 5 years ago
- ☆24Updated 6 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆31Updated 2 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- • Visualised trend and seasonality & conducted tests for checking stationarity of Time series for predicting volatility using GARCH Model…☆15Updated 2 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago
- Covariance Matrix Estimation via Factor Models☆35Updated 6 years ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆30Updated 6 years ago
- Capital Asset Pricing Model implementation in python to analyze stock risk and return.☆26Updated 3 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆13Updated 2 years ago
- quantitative asset allocation strategy☆27Updated 4 months ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆12Updated 2 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Asset allocation and Portfolio Management Course @ Baruch MFE☆14Updated 5 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆26Updated 2 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 5 years ago
- ☆18Updated 8 years ago
- ☆19Updated 5 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago