Songloading / Paper-Replicate-Learning-to-Simulate-Equity-Option-MarketsLinks
Simulation of Stock Data Using Recurrent GAN
☆17Updated 4 years ago
Alternatives and similar repositories for Paper-Replicate-Learning-to-Simulate-Equity-Option-Markets
Users that are interested in Paper-Replicate-Learning-to-Simulate-Equity-Option-Markets are comparing it to the libraries listed below
Sorting:
- Final project of Topics in Quantitative Finance Summer 2020 in National School of Development, Peking University☆28Updated 4 years ago
- This implementation contains the application of GPlearn's symbolic transformer on a commodity futures sector of the financial market.☆194Updated 3 years ago
- Phd repo☆18Updated 3 years ago
- This project is to explore high-frequency model and strategy. You will expect high-frequency features mining, ml/dl models, and hf tradin…☆21Updated 4 years ago
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆24Updated 5 months ago
- This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…☆15Updated last year
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆18Updated 6 years ago
- Summary of the Kaggle Stock Prediction Competition & my Trial☆81Updated 4 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆16Updated 3 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆15Updated 4 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Implementation of option pricing models using Numba that performs better. This entire project has utilized as little libraries as possibl…☆18Updated 3 years ago
- Option Pricing with Machine Learning Methods☆14Updated last year
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆11Updated 8 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆16Updated 2 years ago
- A Quantitative Finance Engineering Project☆14Updated 2 years ago
- Hybrid Event-driven and Vectorized Strategy Backtesting Library☆117Updated 5 months ago
- The Breeden-Litzenberger formula, proposed by Douglas T. Breeden and Robert H. Litzenberger in 1978, is a method used to extract the impl…☆21Updated 2 years ago
- ☆15Updated 4 years ago
- using the Inverse-Transform method to speed up options pricing simulations in R☆28Updated 4 months ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆36Updated 2 years ago
- Financial Markets Microstructure course (UCPH, Masters in Econ)☆24Updated 3 months ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆22Updated 5 years ago
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆19Updated 5 years ago
- This repo is for my articles published on Medium.com☆16Updated 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 …☆14Updated 4 years ago
- ☆16Updated 5 years ago
- ☆18Updated 7 years ago
- Covariance Matrix Estimation via Factor Models☆37Updated 6 years ago