Carlossn / Py-Pair-Trading-and-VAR-Analysis-for-Energy-StocksLinks
CQF Project based on introducing Pair Trading for Energy Stocks with VAR (Vector Autoregression), Engle Granger Approach, Backtesting, Optimization and Factor Analysis
☆16Updated 5 years ago
Alternatives and similar repositories for Py-Pair-Trading-and-VAR-Analysis-for-Energy-Stocks
Users that are interested in Py-Pair-Trading-and-VAR-Analysis-for-Energy-Stocks are comparing it to the libraries listed below
Sorting:
- This repository stores several Jupyter Notebooks that were developed while studying for the Certificate in Quantitative Finance.☆51Updated 2 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
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆134Updated 6 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- Assignments submitted for the Certification in Quantitative Finance (CQF) 2016☆35Updated 7 years ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆48Updated 3 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- CS7641 Team project☆96Updated 5 years ago
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆68Updated 5 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆12Updated 5 years ago
- Code and data for my blogs☆91Updated 4 years ago
- ☆52Updated 8 years ago
- Learn how to research fundamental factors using Pipeline, Alphalens, and Sharadar price and fundamental data.☆15Updated last year
- ☆25Updated 7 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆91Updated 4 years ago
- Option Greeks: Calculation and Visualization☆12Updated 2 years ago
- Notes on Advances in Financial Machine Learning☆81Updated 6 years ago
- This will include all the lecture slides, exercise papers, and data sheets used in Certificate in Quantitative Finance for the June 2020 …☆32Updated 5 years ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆56Updated 4 years ago
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask credit. Further, outstanding del…☆10Updated 2 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆100Updated 2 years ago
- Pair Trading Strategy using Machine Learning written in Python☆122Updated 3 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆113Updated 6 years ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- Design your own Trading Strategy☆39Updated last year
- SVI volatility surface model and an example of China 50ETF option☆78Updated 5 years ago