alexanderkudryashov3 / Crypto-OptionsLinks
Crypto-Options Volatility Surface Calibration and Arbitrage
☆17Updated 3 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:
- Market making strategies and scientific papers☆14Updated 2 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 3 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12Updated 4 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆14Updated 3 years ago
- ☆19Updated 5 years ago
- Option Strategy for Futures☆16Updated 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…☆23Updated 10 months ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆24Updated 4 years ago
- ☆24Updated 5 years ago
- High Frequency Market Making: Optimal Quoting☆13Updated 2 years ago
- Order Book Imbalance trading strategy☆11Updated 3 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆22Updated 3 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆70Updated last year
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆13Updated 3 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆29Updated 4 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Collection of Models related to market making☆17Updated 4 years ago
- Phd repo☆18Updated 3 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆12Updated 4 years ago
- SABR Implied volatility asymptotics☆25Updated 5 years ago
- Stochastic volatility models and their application to Deribit crypro-options exchange☆13Updated last year
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆29Updated 2 years ago
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆36Updated 5 years ago
- ☆34Updated 2 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 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 …☆14Updated 4 years ago
- The notebook with the experiments to replicate and enhance the stock clustering proposed by Han(2022) for alogtrading, with KMeans Optimi…☆21Updated last year
- A research project to study the gamma exposure of market-makers in Bitcoin option markets.☆15Updated 5 years ago
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆18Updated 2 years ago
- ☆16Updated 3 years ago