anthonyng2 / Time-Series-MomentumLinks
☆18Updated 8 years ago
Alternatives and similar repositories for Time-Series-Momentum
Users that are interested in Time-Series-Momentum are comparing it to the libraries listed below
Sorting:
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 3 months ago
- SABR Implied volatility asymptotics☆22Updated 5 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆36Updated last year
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 years ago
- Construction of local volatility surface by using SABR☆29Updated 8 years ago
- Implements different approaches to tactical and strategic asset allocation☆34Updated 5 months ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Deep Reinforcement Learning Framework for Factor Investing☆26Updated 2 years ago
- Testing trading signals of commodity futures☆16Updated 5 years ago
- ☆50Updated 7 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆33Updated 2 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆64Updated last year
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆64Updated 2 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- ☆24Updated 6 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆15Updated last year
- Calibration of a Surface SVI☆13Updated 6 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 5 years ago
- SVI volatility surface model and an example of China 50ETF option☆72Updated 5 years ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆19Updated last year
- Backtest result archive for Momentum Trading Strategies☆58Updated 6 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…☆34Updated 5 years ago
- Mean-Variance Optimization using DL (pytorch)☆31Updated 3 years ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆30Updated 6 years ago
- Implementation of the famous Black-Litterman model in Jupyter notebook☆40Updated 4 years ago
- ☆19Updated 5 years ago