chrischia06 / AlgoTradingSimulatedPathsLinks
Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB
☆36Updated 4 years ago
Alternatives and similar repositories for AlgoTradingSimulatedPaths
Users that are interested in AlgoTradingSimulatedPaths are comparing it to the libraries listed below
Sorting:
- By means of stochastic volatility models☆44Updated 5 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- Quantitative Finance using python - Derivatives Pricing☆44Updated 7 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆70Updated 5 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆63Updated 5 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆132Updated 6 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- ☆27Updated 2 weeks ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆64Updated last year
- CS7641 Team project☆95Updated 4 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆64Updated 2 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆33Updated 2 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- ☆113Updated 7 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
- ☆40Updated 4 years ago
- Research Repo (Archive)☆73Updated 4 years ago
- ☆73Updated 4 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆61Updated 2 years ago
- Python code for pricing European and American options with examples for individual stock, index, and FX options denominated in USD and Eu…☆26Updated last week
- Example of order book modeling.☆56Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆119Updated last year
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆52Updated 4 years ago
- ☆49Updated 4 years ago
- Package to build risk model for factor pricing model☆26Updated 10 months ago
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆21Updated 6 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆70Updated 4 months ago
- Code for the paper "Hedging with linear regressions and neural networks"☆36Updated 4 years ago
- Delta hedging under SABR model☆32Updated last year