LucaCamerani / EcoFin-Library
EcoFin is a quantitative economic library
☆13Updated 3 years ago
Alternatives and similar repositories for EcoFin-Library:
Users that are interested in EcoFin-Library are comparing it to the libraries listed below
- a Python tool for downloading sharadar data from Quandl.☆10Updated 2 years ago
- • Visualised trend and seasonality & conducted tests for checking stationarity of Time series for predicting volatility using GARCH Model…☆17Updated 2 years ago
- Stock database schema based on pony.orm with an update, sync, and create features.☆17Updated this week
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆14Updated 3 years ago
- Randomly partitions time series segments into train, development, and test sets; Trains multiple models optimizing parameters for develo…☆11Updated 4 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆12Updated 6 years ago
- Dispersion Trading using Options☆31Updated 7 years ago
- Development space for PhD in Finance☆33Updated 4 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆14Updated 3 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆28Updated last year
- Forecasting Macroeconomic Parameters with Deep Learning Neural Networks - Final Year Peoject☆13Updated 6 years ago
- ☆15Updated 3 months ago
- Quantitative Finance using python - Derivatives Pricing☆43Updated 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…☆19Updated last year
- Portfolio optimization with cvxopt☆37Updated last week
- Algorithmic multi-greek hedges using Python☆18Updated 4 years ago
- By means of stochastic volatility models☆43Updated 4 years ago
- Financial applications focusing on portfolio management for Python☆16Updated 2 years ago
- A program to optimize option trading strategies☆12Updated 4 years ago
- Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european sw…☆16Updated 5 years ago
- Trading Strategies based on the gap between Implied and Realized Volatility: A machine learning approach☆14Updated 5 years ago
- Python code for pricing European and American options with examples for individual stock, index, and FX options denominated in USD and Eu…☆24Updated 3 weeks ago
- Implementation of option pricing models using Numba that performs better. This entire project has utilized as little libraries as possibl…☆17Updated 2 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago
- Library for simulation and analysis of vanilla and exotic options☆31Updated 4 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- ☆24Updated 6 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆39Updated 4 years ago
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆16Updated 8 months ago
- A research project to study the gamma exposure of market-makers in Bitcoin option markets.☆14Updated 4 years ago