Henry990826 / optionLearnLinks
This repository documents my notes on options learning, covering options basics, strategy development and literature I hope it can help you!
☆18Updated last year
Alternatives and similar repositories for optionLearn
Users that are interested in optionLearn are comparing it to the libraries listed below
Sorting:
- ☆51Updated 8 years ago
- High frequency factors based on order and trade data.☆56Updated last year
- This repository hosts my reading notes for academic papers.☆87Updated 3 years ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- Solutions to Active Portfolio Management (Second Edition) by Grinold and Kahn☆100Updated 3 years ago
- Calibration and Simulation Engine for Local Volatility Models☆11Updated 3 years ago
- Stock factor mining with CNN and GRU.☆63Updated 2 years ago
- Built a practical Multi-Factor Backtesting Framework from scratch based on Huatai Security's(One of China's largest sell side) financial …☆62Updated 2 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆64Updated 7 years ago
- Surface SVI parameterisation and corresponding local volatility☆50Updated 5 years ago
- SVI volatility surface model and an example of China 50ETF option☆76Updated 5 years ago
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 5 years ago
- 根据20170925-华泰期货-CTA量化策略因子系列(二):动量因子研报进行复现☆29Updated 2 years ago
- snowball option pricing, Monte Carlo, PDE, Greeks☆10Updated 2 years ago
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆64Updated 4 years ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆17Updated 5 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 3 months ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- volatility arbitrage in Heston model☆52Updated 3 months ago
- Implemented some mathematical processings used in the Barra risk model☆28Updated 2 years ago
- Barra-Multiple-factor-risk-model☆141Updated 8 years ago
- CS7641 Team project☆96Updated 5 years ago
- ☆201Updated 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 4 years ago
- Backtest Framework designed by YuminQuant&Yumin.☆18Updated 10 months ago
- Reimplementation of Paper: (Re-)Imag(in)ing Price Trends☆60Updated 11 months ago
- Benchmark Dataset of Limit Order Book in China Markets☆208Updated 4 years ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆167Updated last year
- Implementation of HFT backtesting simulator and Stoikov strategy☆127Updated 2 years ago
- We implement the paper: Deep Learning Volatility☆191Updated 5 years ago