LongOnly / Implied-Volatility-Modelling
With real market data using Black Scholes and Brentq
☆22Updated 4 years ago
Alternatives and similar repositories for Implied-Volatility-Modelling:
Users that are interested in Implied-Volatility-Modelling are comparing it to the libraries listed below
- By means of stochastic volatility models☆43Updated 4 years ago
- Code for getting implied volatility in Python☆24Updated 7 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- ☆35Updated 7 years ago
- ☆24Updated 6 years ago
- Development space for PhD in Finance☆33Updated 4 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆65Updated 5 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆39Updated 4 years ago
- This module allows you to easily create order-based financial markets, add agents with various strategies, and evaluate the actions of ag…☆29Updated 2 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆27Updated 4 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆45Updated 4 years ago
- Bitmex market microstructure analytics☆20Updated 3 years ago
- Implementation of a variety of Value-at-Risk backtests☆36Updated 5 years ago
- Collections of snippets for trading I find interesting☆25Updated 3 weeks ago
- finance☆43Updated 7 years ago
- A research project to study the gamma exposure of market-makers in Bitcoin option markets.☆14Updated 4 years ago
- Quantitative Finance using python - Derivatives Pricing☆43Updated 7 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated 9 months ago
- Option Pricing, Volatility Prediction, Machine Learning, Black Scholas, Web Crawling☆54Updated 8 years ago
- Using Q-learning to better navigate orderbooks.☆21Updated 6 years ago
- Dispersion Trading using Options☆32Updated 7 years ago
- ☆17Updated 4 years ago
- A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and…☆24Updated 4 years ago
- Algorithmic multi-greek hedges using Python☆19Updated 4 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆64Updated last year
- A Python toolkit for high-frequency trade research.☆40Updated 6 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 9 months ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆36Updated last year
- These are trading results and arbitrage models from Southern China Center for Statistical Science (SC2S2), Sun Yat-sen University☆17Updated 6 years ago
- A low frequency statistical arbitrage strategy☆19Updated 5 years ago