MiyainNYC / Financial-Modeling
Option Pricing, Volatility Prediction, Machine Learning, Black Scholas, Web Crawling
☆54Updated 8 years ago
Alternatives and similar repositories for Financial-Modeling:
Users that are interested in Financial-Modeling are comparing it to the libraries listed below
- Quantitative Finance using python - Derivatives Pricing☆43Updated 7 years ago
- By means of stochastic volatility models☆43Updated 5 years ago
- Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics…☆117Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆52Updated 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
- Implementation of the famous Black-Litterman model in Jupyter notebook☆42Updated 4 years ago
- Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predicta…☆29Updated 3 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆129Updated 6 years ago
- ☆17Updated 6 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆62Updated 11 months ago
- Standardised Bloomberg Fixed Income Processing☆20Updated 4 years ago
- ☆28Updated 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
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆65Updated 5 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated last month
- Backtest result archive for Momentum Trading Strategies☆50Updated 6 years ago
- • Visualised trend and seasonality & conducted tests for checking stationarity of Time series for predicting volatility using GARCH Model…☆15Updated 2 years ago
- Capital Asset Pricing Model implementation in python to analyze stock risk and return.☆26Updated 3 years ago
- A financial trading method using machine learning.☆60Updated last year
- ☆24Updated 6 years ago
- Built a smart beta portfolio and compared it to a benchmark index by calculating the tracking error. Built a portfolio using quadratic pr…☆65Updated 6 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆94Updated 2 years ago
- quantitative - Quantitative finance back testing library☆63Updated 6 years ago
- Dispersion Trading using Options☆32Updated 7 years ago
- Portfolio optimization with cvxopt☆37Updated 2 months ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆101Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Library for simulation and analysis of vanilla and exotic options☆31Updated 4 years ago
- Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB☆36Updated 3 years ago