Trading Strategies based on the gap between Implied and Realized Volatility: A machine learning approach
☆15Nov 10, 2019Updated 6 years ago
Alternatives and similar repositories for MATS
Users that are interested in MATS are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Sep 18, 2021Updated 5 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆14Dec 11, 2022Updated 3 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Oct 19, 2020Updated 6 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆39Apr 24, 2023Updated 3 years ago
- Tool to visualize changes in the Black–Scholes model with respect to other variables. 2D or 3D data output. Can also be used to get curre…☆19Aug 17, 2025Updated last year
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆52Feb 9, 2021Updated 5 years ago
- A set of scripts to parse SEC filing data for specific hedge funds☆13Dec 8, 2022Updated 3 years ago
- ☆10Mar 9, 2024Updated 2 years ago
- HAR-RV Model For Realized Volatility☆32Feb 21, 2016Updated 10 years ago
- Unsupervised Clustering and Meta-analysis using Gaussian Mixture Copula Models☆15Aug 25, 2026Updated 2 months ago
- a Python tool for downloading sharadar data from Quandl.☆11Dec 8, 2022Updated 3 years ago
- from for/if/else to my first option back-test function☆21Jul 8, 2020Updated 6 years ago
- I use a LSTM ( long short term memory model) model to predict the fluctuations of VIX index ( the index of 50ETF options), and trade t…☆14Apr 25, 2019Updated 7 years ago
- In the last month, Caio and I developed a Python script capable of deriving the Black & Scholes equation and finding all Greeks' equation…☆10Nov 5, 2021Updated 4 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- 上证50ETF波动率指数☆18May 13, 2023Updated 3 years ago
- FastAPI implementation of 68 non-options trading strategies from "151 Trading Strategies" by Kakushadze & Serur. Comprehensive API coveri…☆24Updated this week
- dynamic copula dcc garch estimate bank systematic risk☆21Dec 29, 2021Updated 4 years ago
- ☆20Nov 7, 2022Updated 3 years ago
- ☆10Nov 4, 2018Updated 7 years ago
- ☆14Apr 1, 2024Updated 2 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆27Dec 26, 2022Updated 3 years ago
- A DQN agent that optimally hedges an options portfolio.☆25Feb 4, 2020Updated 6 years ago
- ☆19Updated this week
- Virtual machines for every use case on DigitalOcean • AdGet dependable uptime with 99.99% SLA, simple security tools, and predictable monthly pricing with DigitalOcean's virtual machines, called Droplets.
- 证券量化研究聚宽实现☆12Jan 31, 2020Updated 6 years ago
- R code and Realized Volatility (RV) series set for fitting NN-based-HAR models to multinational RV series.☆13Sep 8, 2018Updated 8 years ago
- Allows you to create dynamic rules related to a particular model☆14May 16, 2022Updated 4 years ago
- 期权行情数据获取,包括实时tick数据,分钟数据,k线数据☆53Mar 10, 2023Updated 3 years ago
- Experimenting with Algo Trading using Backtrader Python Module. Specifically, statistical arbitrage using cointegration.☆16Aug 17, 2022Updated 4 years ago
- The project aims to profile stocks with similar weekly percentage returns using K-Means Clustering. The project calculates realized volat…☆12Oct 30, 2023Updated 3 years ago
- Volatility trading☆21Sep 26, 2026Updated last month
- Optimizing the Pairs-Trading Strategy using Deep Reinforcement Learning with Trading and Stop-loss Boundaries☆12Dec 12, 2021Updated 4 years ago
- Implementing a medium freq trading strategy by estimating price impact via order flow.☆17Sep 21, 2020Updated 6 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- Production-grade statistical arbitrage trading system with 20+ alpha strategies, portfolio optimization, and multiple backtesting engines…☆22Feb 10, 2026Updated 8 months ago
- ctpbee broker解决方案☆23Feb 28, 2025Updated last year
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆28Jan 28, 2021Updated 5 years ago
- 从vnpy剥离出来的ctp封装,使用pybind11+cmake编译。☆19Aug 21, 2023Updated 3 years ago
- ACM Research 2021 | Implementing and benchmarking the performance of various online portfolio selection algorithms on real-world trading …☆23May 2, 2021Updated 5 years ago
- Code for Forecasting Realized Volatility with Spillover Effects: Perspectives from Graph Neural Networks☆19Oct 30, 2024Updated 2 years ago
- With real market data using Black Scholes and Brentq☆26Mar 31, 2020Updated 6 years ago