WenqiAngieWu / Betting-Against-BetaLinks
This project is based upon the paper: Frazzini, A. & Pedersen, L. (2014). Betting against beta.
☆21Updated 3 years ago
Alternatives and similar repositories for Betting-Against-Beta
Users that are interested in Betting-Against-Beta are comparing it to the libraries listed below
Sorting:
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆29Updated 5 years ago
- Basic Limit Order Book functions☆22Updated 7 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆34Updated 2 years ago
- quantitative asset allocation strategy☆32Updated 6 months ago
- detecting regime of financial market☆39Updated 2 years ago
- Baruch MFE program quant lab☆29Updated 7 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆66Updated last year
- Code for the paper Volatility is (mostly) path-dependent☆66Updated last year
- SABR Implied volatility asymptotics☆22Updated 5 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- ☆24Updated 5 years ago
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆34Updated 4 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆65Updated 2 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 4 months ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european sw…☆16Updated 6 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
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- ☆17Updated 7 years ago
- Research Repo (Archive)☆75Updated 4 years ago
- Calibration of parameters of Heston and Bates models using Markov Chain Monte Carlo (MCMC)☆40Updated 4 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 …☆13Updated 3 years ago
- Mean-Variance Optimization using DL (pytorch)☆31Updated 3 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆85Updated 2 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- ☆42Updated 2 years ago
- Dispersion Trading using Options☆33Updated 8 years ago
- ☆17Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆51Updated 2 years ago