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 7 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:
- Deep Reinforcement Learning Framework for Factor Investing☆30Updated 2 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆51Updated 3 years ago
- Backtest result archive for Momentum Trading Strategies☆67Updated 6 years ago
- Short-term momentum trading strategy implemented for the lecture "Systematic risk premia strategies traded at hedge funds" at University …☆43Updated 3 years ago
- Trend Prediction for High Frequency Trading☆42Updated 3 years ago
- SABR Implied volatility asymptotics☆25Updated 5 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆72Updated 2 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆30Updated 7 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆35Updated 2 years ago
- ☆25Updated 7 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 3 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- quantitative asset allocation strategy☆35Updated last year
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆38Updated 5 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆135Updated 7 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 4 years ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆57Updated 4 years ago
- This is the final project of Statistical Arbitrage course and it aims to apply pairs trading in high frequency data to realize auto-tradi…☆19Updated 7 years ago
- 一些研报的复现☆13Updated 7 years ago
- ☆24Updated 6 years ago
- Mean Reversion Trading Strategy☆29Updated 4 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆75Updated 5 years ago
- Using LSTM to execute a sector rotation trading strategy☆11Updated 6 years ago
- Delta hedging under SABR model☆44Updated last year
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆75Updated 3 years ago
- Implementation of the famous Black-Litterman model in Jupyter notebook☆41Updated 5 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆71Updated 5 years ago
- 📈This repo describes a framework that leverages sentiment stability of a financial 10-K report as the trading signal (alpha factor)☆13Updated 5 years ago
- three stochastic volatility model: Heston, SABR, SVI☆93Updated 6 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆73Updated 8 months ago