bradleyboyuyang / Empirical-FinanceLinks
Fama-French models, idiosyncratic volatility, event study
☆33Updated 3 years ago
Alternatives and similar repositories for Empirical-Finance
Users that are interested in Empirical-Finance are comparing it to the libraries listed below
Sorting:
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆28Updated 2 years ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆56Updated 4 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆13Updated 7 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆26Updated 3 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆90Updated 4 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆12Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆89Updated 2 years ago
- Backtest result archive for Momentum Trading Strategies☆63Updated 6 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆19Updated 3 years ago
- Implements different approaches to tactical and strategic asset allocation☆39Updated 8 months ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- ☆25Updated 7 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 5 months ago
- Delta hedging under SABR model☆35Updated last year
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 6 months ago
- ☆22Updated 2 years ago
- This repository hosts my reading notes for academic papers.☆89Updated 4 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- SABR Implied volatility asymptotics☆23Updated 5 years ago
- Implementation of PIN ( Probability of Informed trading) on A-Share daily public data (based on Yan Y, Zhang S. An improved estimation me…☆42Updated 5 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
- Design your own Trading Strategy☆39Updated last year
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Replication of https://ssrn.com/abstract=3984925☆47Updated last year