bradleyboyuyang / Optimal-HedgingLinks
Delta hedging under SABR model
☆37Updated last year
Alternatives and similar repositories for Optimal-Hedging
Users that are interested in Optimal-Hedging are comparing it to the libraries listed below
Sorting:
- Backtest result archive for Momentum Trading Strategies☆64Updated 6 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- CS7641 Team project☆97Updated 5 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆68Updated 5 years ago
- Dynamic portfolio optimization☆29Updated last year
- ☆120Updated 7 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆69Updated 2 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆78Updated 7 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆32Updated 4 years ago
- ☆37Updated 4 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆87Updated 2 years ago
- ☆53Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆55Updated 5 years ago
- Repo for HFT project in CMF☆28Updated 2 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
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆73Updated 5 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆69Updated last year
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆48Updated 3 years ago
- ☆25Updated 7 years ago
- ☆63Updated 10 months ago
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆35Updated last year
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆103Updated 6 years ago
- #易经 #道家 #十二生肖 #姓氏堂号子嗣贞节牌坊 #天文历法 #张灯结彩 #农历 #夜观星象 #廿四节气 #算卜 #紫微斗数 #十二时辰 #生辰八字 #命运 #风水 《始祖赢政之子赢家黄氏江夏堂联富•秦谏——大秦赋》 万般皆下品，唯有读书高。🚩🇨🇳🏹🦔中科红旗，…☆50Updated 7 months ago
- Baruch MFE 2019 Spring☆41Updated 5 years ago
- ☆24Updated 5 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 7 years ago
- Pairs Trading with Machine Learning on Distributed Python Platform☆122Updated 3 years ago
- Surface SVI parameterisation and corresponding local volatility☆52Updated 5 years ago