SharmaVidhiHaresh / Portfolio-Risk-Analysis-with-PythonLinks
Using a dataset of hedge fund indices, I had computed various risk parameters, explicitly Value at risk (VaR), drawdown and deviation from normality with Python. Using different models, I had computed non-parametric VaR, Parametric Gaussian Model VaR and Cornish-Fisher VaR, as well as plotted the VaR of all hedge fund indices.
☆26Updated 5 years ago
Alternatives and similar repositories for Portfolio-Risk-Analysis-with-Python
Users that are interested in Portfolio-Risk-Analysis-with-Python are comparing it to the libraries listed below
Sorting:
- In this project, I had backtested the cross-over trading strategy on Google Stock from Jan 2016 to June 2020. By using historical time-se…☆44Updated 5 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆49Updated 4 years ago
- applications for risk management through computational portfolio construction methods☆43Updated 5 years ago
- ☆25Updated 7 years ago
- Source Codes for "Contrarian Trading Strategies in Python"☆80Updated 2 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆50Updated 3 years ago
- Jupyter notebooks on portfolio construction and analysis - EDHEC☆45Updated 6 years ago
- Collection of notebooks and scripts related to financial engineering, quant-research and algo-trading.☆82Updated last year
- ☆36Updated 3 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 7 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆135Updated 6 years ago
- Official Repository☆133Updated 4 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆69Updated 5 years ago
- Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement…☆31Updated 5 years ago
- ☆38Updated 3 years ago
- ☆47Updated 2 years ago
- quantitative - Quantitative finance back testing library☆65Updated 6 years ago
- ☆65Updated 2 years ago
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - Técnico Li…☆171Updated 6 years ago
- Pairs Trading with Machine Learning on Distributed Python Platform☆124Updated 3 years ago
- A library for black-scholes euro options pricing, algorithmic delta hedging, and visualization☆63Updated 5 years ago
- Research and Backtests I have been working on...enjoy☆71Updated 4 years ago
- Having effective intraday forecast for the level of trading volume is of vital importance to algorithmic trading and portfolio management…☆53Updated 5 years ago
- This repository have pyhton codes used in book - 'Python for Trading on Technical - A step towards systematic trading' by Authour Anjana …☆52Updated 4 years ago
- ☆24Updated 4 years ago
- Design your own Trading Strategy☆38Updated last year
- CS7641 Team project☆97Updated 5 years ago
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆126Updated 6 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆71Updated 2 years ago
- ☆54Updated 7 years ago