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
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated 3 weeks ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- Portfolio optimization with cvxopt☆37Updated 2 months ago
- Covariance Matrix Estimation via Factor Models☆32Updated 5 years ago
- SABR Implied volatility asymptotics☆21Updated 4 years ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆15Updated last year
- 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
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆14Updated 4 years ago
- ☆22Updated 2 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆64Updated last year
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆14Updated 3 years ago
- Various python scripts to introduce mean reversion concepts.☆22Updated 6 years ago
- Short-term momentum trading strategy implemented for the lecture "Systematic risk premia strategies traded at hedge funds" at University …☆40Updated 3 years ago
- Implementation of a variety of Value-at-Risk backtests☆36Updated 5 years ago
- ☆17Updated 4 years ago
- Collection of numerical methods for high frequency data, in Python notebooks☆13Updated 4 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆59Updated 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
- In this project, I explore various machine learning techniques including Principal Component Analysis (PCA), Support Vector Machines (SVM…☆10Updated 2 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 5 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆30Updated last year
- Construction of local volatility surface by using SABR☆28Updated 7 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆30Updated 2 years ago
- A low frequency statistical arbitrage strategy☆19Updated 6 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆24Updated last year
- Asset allocation and Portfolio Management Course @ Baruch MFE☆13Updated 5 years ago