alexanderkudryashov3 / Crypto-OptionsLinks
Crypto-Options Volatility Surface Calibration and Arbitrage
☆14Updated 2 years ago
Alternatives and similar repositories for Crypto-Options
Users that are interested in Crypto-Options are comparing it to the libraries listed below
Sorting:
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆12Updated 2 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12Updated 4 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- Market making strategies and scientific papers☆13Updated last year
- ☆19Updated 5 years ago
- A market making algorithm based on the Avellaneda Stoikov paper on Deribit derivatives exchange. A gradient boosted model is used for vol…☆18Updated 6 months ago
- Option Strategy for Futures☆14Updated 5 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago
- Deep learning models for high-frequency financial data (limited order book)☆19Updated 6 years ago
- ☆24Updated 5 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆23Updated 3 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 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
- Collection of Models related to market making☆18Updated 4 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆20Updated 3 years ago
- 基于机器学习的多因子研 究框架☆14Updated 5 years ago
- Stochastic volatility models and their application to Deribit crypro-options exchange☆12Updated 8 months ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆29Updated 4 years ago
- ☆17Updated 3 years ago
- Phd repo☆17Updated 3 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆66Updated last year
- Collection of numerical methods for high frequency data, in Python notebooks☆13Updated 4 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- My first high-frequency trading strategy using machine learning☆17Updated 2 years ago
- Statistical tests for Value at Risk (VaR) Models.☆14Updated last year
- A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading☆18Updated 4 years ago
- The project aims to profile stocks with similar weekly percentage returns using K-Means Clustering. The project calculates realized volat…☆12Updated last year
- from for/if/else to my first option back-test function☆18Updated 5 years ago
- This trading strategy deploy the copula model to define the divergence of two correlated asset. The backtesting system is built on backtr…☆22Updated 3 years ago