Sion2015 / FE-800
Robo Advisor with Black-Litterman
☆43Updated 4 years ago
Alternatives and similar repositories for FE-800:
Users that are interested in FE-800 are comparing it to the libraries listed below
- Implementation of the famous Black-Litterman model in Jupyter notebook☆41Updated 4 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆44Updated 2 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆63Updated 7 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆62Updated last year
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆30Updated 6 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆97Updated 2 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
- Tracking S&P 500 index with deep learning model☆12Updated last year
- Deep Reinforcement Learning Framework for Factor Investing☆26Updated 2 years ago
- ☆50Updated 7 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- ☆18Updated 8 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆85Updated 4 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated 2 months ago
- 多因子模型相关☆21Updated 3 years ago
- Package based on the work of Dr Marcos Lopez de Prado regarding his research with respect to Advances in Financial Machine Learning☆33Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- ☆27Updated 2 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆132Updated 6 years ago
- This is a program for strategic asset allocation research for negative investment FOF.☆14Updated 4 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 5 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Capital Asset Pricing Model implementation in python to analyze stock risk and return.☆26Updated 3 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆19Updated 3 years ago
- AI based alpha research for trading☆47Updated 2 years ago
- three stochastic volatility model: Heston, SABR, SVI☆87Updated 6 years ago
- Using Python and Tushare financial database☆27Updated 11 months ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆51Updated 4 years ago