Nyarukotep / ARMA-GARCH-Model
A stock price prediction model based on ARMA and GARCH
☆19Updated 3 months ago
Related projects: ⓘ
- ARIMA & GARCH models for stock price prediction☆16Updated 4 years ago
- By combining GARCH(1,1) and LSTM model implementing predictions.☆54Updated 5 years ago
- Implementation of a variety of Value-at-Risk backtests☆35Updated 5 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆70Updated 2 years ago
- A collection of Python notebooks demonstrating the integration of AI with financial strategies.☆12Updated this week
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆19Updated 10 months ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆11Updated last year
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆19Updated last year
- Algorithmic Trading project that examines the Fama-French 3-Factor Model and the Fama-French 5-Factor Model in predicting portfolio retur…☆25Updated 3 years ago
- quantitative asset allocation strategy☆18Updated last year
- Implements different approaches to tactical and strategic asset allocation☆25Updated last year
- The project aims to profile stocks with similar weekly percentage returns using K-Means Clustering. The project calculates realized volat…☆10Updated 10 months ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆9Updated 2 years ago
- Predictive yield curve modeling in reduced dimensionality☆37Updated last year
- SABR Implied volatility asymptotics☆21Updated 4 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆58Updated 4 years ago
- Portfolio optimization using Genetic algorithm.☆52Updated 3 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 4 years ago
- Multivariate DCC-GARCH model☆14Updated 5 years ago
- The specialization provides the knowledge and practical skills necessary to develop a strong foundation on core paradigms of machine lear…☆11Updated 4 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆24Updated last year
- Calibration and pricing options in Heston model☆12Updated 6 years ago
- Developing hybrid deep learning models by integrating Neural networks with (s,e,t)GARCH models to predict volatility in the Indian Commod…☆14Updated 3 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆16Updated 5 years ago
- ☆26Updated 2 years ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆27Updated 5 years ago
- This repository represents work in progress for the Worldquant University Capstone Project titled: Asset Portfolio Management using Deep …☆70Updated last year
- Python Package: Fitting and Forecasting the yield curve☆33Updated 3 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 2 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆36Updated 2 years ago