bradleyboyuyang / Optimal-HedgingLinks
Delta hedging under SABR model
☆33Updated 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:
- Dynamic portfolio optimization☆24Updated last year
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆63Updated 5 years ago
- ☆114Updated 7 years ago
- CS7641 Team project☆96Updated 4 years ago
- Backtest result archive for Momentum Trading Strategies☆60Updated 6 years ago
- Volume-Synchronized Probability of Informed Trading☆113Updated 11 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆75Updated 7 years ago
- Package to build risk model for factor pricing model☆28Updated 11 months ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆70Updated 5 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 6 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆31Updated 4 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆103Updated 6 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆65Updated 2 years ago
- Example of order book modeling.☆57Updated 6 years ago
- ☆33Updated 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
- Pair Trading Strategy using Machine Learning written in Python☆119Updated 3 years ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆118Updated last year
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆59Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆84Updated 2 years ago
- This project implements an advanced pairs trading strategy using statistical arbitrage techniques. It leverages Bayesian optimization to …☆40Updated last year
- ☆24Updated 5 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆46Updated 3 years ago
- Research Repo (Archive)☆74Updated 4 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆51Updated 3 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Notes on Advances in Financial Machine Learning☆80Updated 6 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆82Updated 2 years ago