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 6 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:
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆101Updated 2 years ago
- This repository stores several Jupyter Notebooks that were developed while studying for the Certificate in Quantitative Finance.☆51Updated 2 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆134Updated 6 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆48Updated 3 years ago
- Assignments submitted for the Certification in Quantitative Finance (CQF) 2016☆35Updated 7 years ago
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago
- CS7641 Team project☆96Updated 5 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 7 years ago
- ☆25Updated 7 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
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 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
- Implementation of 5-factor Fama French Model☆135Updated 4 years ago
- ☆52Updated 8 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆68Updated 5 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆29Updated 2 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
- AI based alpha research for trading☆50Updated 3 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆73Updated 5 years ago
- High Frequency Market Making: Optimal Quoting☆13Updated 2 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
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- SVI volatility surface model and an example of China 50ETF option☆78Updated 5 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆92Updated 4 years ago
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆65Updated 3 years ago
- ☆16Updated 8 years ago
- Code for calibrating the SABR model, used to model implied volatility smiles, described in the paper https://www.researchgate.net/publica…☆11Updated 6 years ago
- quantitative asset allocation strategy☆33Updated 9 months ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 5 years ago