NavnoorBawa / Volatility-Surface-Anomaly-Detection-Trading-SystemLinks
☆21Updated 4 months ago
Alternatives and similar repositories for Volatility-Surface-Anomaly-Detection-Trading-System
Users that are interested in Volatility-Surface-Anomaly-Detection-Trading-System are comparing it to the libraries listed below
Sorting:
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆27Updated last year
- Value or Momentum? Comparing Random Forests, Support Vector Machines, and Multi-layer Perceptrons for Financial Time Series Prediction & …☆37Updated last year
- ☆26Updated last year
- ☆44Updated 2 years ago
- experiments with crypto trading☆16Updated last year
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- Implementation of code snippets and exercises in the book Machine Learning for Asset Managers written by Prof. Marcos López de Prado.☆16Updated 5 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆36Updated 2 years ago
- ☆12Updated 2 years ago
- Algorithmic implementation of automated adjustment of delta hedged initialized short straddle deployed over Derivatives (Options) market☆17Updated 2 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆13Updated 3 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Market making strategies and scientific papers☆13Updated 2 years ago
- The notebook with the experiments to replicate and enhance the stock clustering proposed by Han(2022) for alogtrading, with KMeans Optimi…☆19Updated last year
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆30Updated 5 years ago
- Algorithmic multi-greek hedges using Python☆21Updated 4 years ago
- ☆24Updated 5 years ago
- ☆41Updated 4 years ago
- • Visualised trend and seasonality & conducted tests for checking stationarity of Time series for predicting volatility using GARCH Model…☆15Updated 2 years ago
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆13Updated 3 years ago
- Option Strategy for Futures☆15Updated 5 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆14Updated 2 years ago
- Stochastic volatility models and their application to Deribit crypro-options exchange☆12Updated 11 months ago
- Portfolio optimization with cvxopt☆40Updated 8 months ago
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆17Updated last year
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- ☆14Updated 6 years ago
- Dynamic portfolio optimization☆28Updated last year