The-Makers-of-things / portfoliolab
PortfolioLab is a python library that enables traders who want to take advantage of the latest portfolio optimisation algorithms used by professionals in the industry.
☆12Updated 4 years ago
Alternatives and similar repositories for portfoliolab:
Users that are interested in portfoliolab are comparing it to the libraries listed below
- ☆21Updated 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 11 months ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆24Updated last year
- A low frequency statistical arbitrage strategy☆19Updated 6 years ago
- Dynamic delta hedging (DDH) is a trading strategy that involves hedging a non-linear position with linear instruments. Linear instruments…☆12Updated last year
- A model simulation shows how pairs trading could be used for two S&P500 traded stocks. It proofs that the strategy is successful on real…☆25Updated 4 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆61Updated last year
- ☆24Updated 6 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆45Updated 4 years ago
- ☆18Updated 8 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆43Updated 2 years ago
- Backtest result archive for Momentum Trading Strategies☆52Updated 6 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆30Updated last year
- ☆17Updated 7 years ago
- A financial trading method using machine learning.☆60Updated 2 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆11Updated 4 years ago
- ☆39Updated 3 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆27Updated 4 years ago
- ☆36Updated 2 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 5 years ago
- Baruch MFE 2019 Spring☆39Updated 4 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆33Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Addons (analyzers, observers, indicators, data feeds etc) for backtrader☆31Updated last year
- By means of stochastic volatility models☆43Updated 5 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆64Updated 2 months ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆30Updated 6 years ago