Robot-Wealth / stat-arb-bookLinks
☆13Updated last year
Alternatives and similar repositories for stat-arb-book
Users that are interested in stat-arb-book are comparing it to the libraries listed below
Sorting:
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆24Updated 7 months ago
- ☆16Updated 3 years ago
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆64Updated 9 months ago
- using the Inverse-Transform method to speed up options pricing simulations in R☆28Updated 6 months ago
- Updates, charts, code, data, typos for the book 'Brazilian Derivatives and Securities"☆18Updated last year
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago
- Backtest asset allocation strategies in Python with only a background in pandas necessary☆48Updated 2 years ago
- ☆100Updated 3 months ago
- Simple Risk Premia Strategy☆37Updated 4 years ago
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆40Updated last month
- Design of Risk Parity Portfolios☆119Updated 3 years ago
- A collection of scripts for modelling financial markets & options in R.☆61Updated last year
- R package for high frequency time series data management☆66Updated last week
- NYU Tandon lecture slides☆33Updated last week
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆17Updated last year
- quant_rv is a quantitative ETF trading strategy based on realized volatility, written in R☆26Updated last year
- Data and R code related to my medium article "Custom Factor Models - Build your own in R with a few lines of codes"☆19Updated 4 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Covariance Matrix Estimation via Factor Models☆38Updated 6 years ago
- Functions for the construction of risk-based portfolios☆54Updated 4 years ago
- ☆24Updated 3 years ago
- Moody's Bond Rating Classifier and USPHCI Economic Activity Forecast Modeling☆19Updated 6 years ago
- ☆52Updated 2 years ago
- Statistical tests for Value at Risk (VaR) Models.☆14Updated 2 months ago
- Time Series Prediction of Volume in LOB☆60Updated last year
- Portfolio optimization with cvxopt☆40Updated last month
- Volatility models for stock prices using deep learning and mixture models.☆16Updated 3 years ago
- The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to ma…☆161Updated last month
- Option Volatility and Pricing Models.☆12Updated 11 months ago
- Material accompanying the MOSEK Portfolio Optimization Cookbook☆100Updated 2 weeks ago