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 4 years ago
- 雁陎的各种小项目合集☆17Apr 8, 2024Updated 2 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
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Apr 24, 2023Updated 3 years ago
- Find Black-Scholes implied volatility☆21May 1, 2018Updated 8 years ago
- Serverless GPU API endpoints on Runpod - Get Bonus Credits • AdSkip the infrastructure headaches. Auto-scaling, pay-as-you-go, no-ops approach lets you focus on innovating your application.
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Oct 19, 2020Updated 5 years ago
- HAR-RV Model For Realized Volatility☆32Feb 21, 2016Updated 10 years ago
- a Python tool for downloading sharadar data from Quandl.☆10Dec 8, 2022Updated 3 years ago
- Unsupervised Clustering and Meta-analysis using Gaussian Mixture Copula Models☆15Nov 4, 2021Updated 4 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
- from for/if/else to my first option back-test function☆21Jul 8, 2020Updated 6 years ago
- ☆14Apr 1, 2024Updated 2 years ago
- 上证50ETF波动率指数☆18May 13, 2023Updated 3 years ago
- Optimal Rebalancing Strategy Using Dynamic Programming for Institutional Portfolios☆22May 3, 2014Updated 12 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- • 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
- ☆10Nov 4, 2018Updated 7 years ago
- dynamic copula dcc garch estimate bank systematic risk☆20Dec 29, 2021Updated 4 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆27Dec 26, 2022Updated 3 years ago
- ☆17Updated this week
- ☆20Nov 7, 2022Updated 3 years ago
- 证券量化研究聚宽实现☆11Jan 31, 2020Updated 6 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 11 months ago
- R code and Realized Volatility (RV) series set for fitting NN-based-HAR models to multinational RV series.☆13Sep 8, 2018Updated 7 years ago
- GPUs on demand by Runpod - Special Offer Available • AdRun AI, ML, and HPC workloads on powerful cloud GPUs—without limits or wasted spend. Deploy GPUs in under a minute and pay by the second.
- The project aims to profile stocks with similar weekly percentage returns using K-Means Clustering. The project calculates realized volat…☆12Oct 30, 2023Updated 2 years ago
- heterogenous autoregressive (HAR) models of Bollerslev et al. (2016) implemented in R to forecast the intraday measure of realized volati…☆19Jul 19, 2021Updated 5 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
- ctpbee broker解决方案☆23Feb 28, 2025Updated last year
- Capstone Research Project in NYU Courant☆12Jan 3, 2020Updated 6 years ago
- 雪球爬虫,爬取长生生物10000+股友评论☆27Aug 2, 2018Updated 7 years ago
- 微信公众号爬虫,爬取微信公众号文章保存为word文档☆25Oct 19, 2022Updated 3 years ago
- Use a deep learning model to predict facial expressions from a videostream☆47Apr 27, 2020Updated 6 years ago
- A pair of scripts, kcs_encode.py and kcs_decode.py, that encode and decode WAV audio files containing data encoded in the Kansas City Sta…☆25Jul 31, 2024Updated last year
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- Implementing a medium freq trading strategy by estimating price impact via order flow.☆17Sep 21, 2020Updated 5 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆25Apr 27, 2018Updated 8 years ago
- 新闻AI聚合阅读器——从 Telegram 频道抓取新闻消息,自动提取全文,生成新闻站。支持自动AI翻译、摘要及分类功能,支持自定义AI API。News AI Aggregator – scrapes news articles from Telegram channel…☆21Updated this week
- Code for Forecasting Realized Volatility with Spillover Effects: Perspectives from Graph Neural Networks☆17Oct 30, 2024Updated last year
- Optimizing the Pairs-Trading Strategy using Deep Reinforcement Learning with Trading and Stop-loss Boundaries☆12Dec 12, 2021Updated 4 years ago
- This is the GitHub Repository for the paper "Charting New Avenues in Financial Forecasting with TimesNet: The Impact of Intraperiod and I…☆17Mar 18, 2024Updated 2 years ago
- ACM Research 2021 | Implementing and benchmarking the performance of various online portfolio selection algorithms on real-world trading …☆24May 2, 2021Updated 5 years ago