YanaSSS / model-stock-price-dynamics-using-SDELinks
Using Geometric Brownian Motion model to model stock price dynamics - First project using Python
☆8Updated 5 years ago
Alternatives and similar repositories for model-stock-price-dynamics-using-SDE
Users that are interested in model-stock-price-dynamics-using-SDE are comparing it to the libraries listed below
Sorting:
- This file includes the code I've written for the course Numerical Method in finance, Stochastic Calculus in Spring 2020.☆11Updated 5 years ago
- A Program to calculate the price of American put or call option with Least Square Monte Carlo☆13Updated 2 years ago
- This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…☆13Updated last year
- Implementation of a variety of Value-at-Risk backtests☆37Updated 6 years ago
- detecting regime of financial market☆37Updated 2 years ago
- This paper aims to explore the time series’ proprieties of the features extracted by using the Principal Component Analysis (PCA) techniq…☆18Updated 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…☆13Updated 3 years ago
- Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.☆16Updated 5 years ago
- Multivariate Markov-Switching Models Regressions Framework☆12Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆51Updated 2 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 4 years ago
- Alpha Generation using Data Science and Quantitative Analysis with integrated Risk Model☆44Updated 4 years ago
- Code of paper "Stock Price Prediction Incorporating Market Style Clustering" published in Cognitive Computation.☆26Updated 3 years ago
- ☆17Updated 3 years ago
- Algorithmic Trading project that examines the Fama-French 3-Factor Model and the Fama-French 5-Factor Model in predicting portfolio retur…☆30Updated 4 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated last year
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 4 months ago
- quantitative asset allocation strategy☆27Updated 5 months ago
- A Quantitative Finance Engineering Project☆13Updated 2 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆63Updated last year
- This repository contains python code to create, backtest and automate intraday-trading algorithms in financial markets using Machine Lear…☆9Updated 3 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Stock markets are an essential component of the economy. Their prediction naturally arouses afascination in the academic and financial w…☆21Updated 4 years ago
- ☆20Updated 5 months ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆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…☆35Updated 5 years ago
- modeling FICC market with QuantLib☆20Updated 2 years ago
- ☆14Updated 3 years ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆42Updated 5 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆49Updated 5 years ago