DavidCico / Factor-risk-model-with-principal-component-analysisLinks
This repository shows the application of PCA technique for risk factor modelling of financial securities.
☆21Updated 5 years ago
Alternatives and similar repositories for Factor-risk-model-with-principal-component-analysis
Users that are interested in Factor-risk-model-with-principal-component-analysis are comparing it to the libraries listed below
Sorting:
- ☆24Updated 5 years ago
- Baruch MFE 2019 Spring☆43Updated 5 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆30Updated 2 years ago
- Backtest result archive for Momentum Trading Strategies☆64Updated 6 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 4 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆70Updated 2 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆93Updated 2 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆35Updated 6 years ago
- Implements different approaches to tactical and strategic asset allocation☆43Updated 11 months ago
- AI based alpha research for trading☆50Updated 3 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆36Updated 2 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
- SABR Implied volatility asymptotics☆25Updated 5 years ago
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆18Updated 2 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 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
- ☆53Updated 4 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆33Updated last year
- ☆10Updated 4 years ago
- SVI volatility surface model and an example of China 50ETF option☆81Updated 5 years ago
- This trading strategy deploy the copula model to define the divergence of two correlated asset. The backtesting system is built on backtr…☆22Updated 3 years ago
- ☆47Updated 2 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆70Updated last year
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆86Updated last year
- 雪球结构产品定价☆29Updated 2 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆50Updated 3 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆38Updated 5 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆22Updated 3 years ago