coolgan / Quantitative-Finance
Q-quant和因子投资实证汇总
☆20Updated 3 years ago
Alternatives and similar repositories for Quantitative-Finance:
Users that are interested in Quantitative-Finance are comparing it to the libraries listed below
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆33Updated 5 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆26Updated 2 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆9Updated 2 weeks ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆19Updated 3 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆24Updated last year
- Using Python and Tushare financial database☆27Updated 11 months ago
- 多因子模型相关☆21Updated 3 years ago
- Backtest Framework designed by YuminQuant&Yumin.☆17Updated 8 months ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆12Updated 2 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- 一个基于中国市场的Fama-French五因子实证研究☆35Updated 2 years ago
- 雪球结构产品定价☆29Updated last year
- Calibration of a Surface SVI☆12Updated 6 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 8 years ago
- ☆17Updated 7 years ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆30Updated 6 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆16Updated 6 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆14Updated 4 years ago
- ☆50Updated 7 years ago
- This trading strategy deploy the copula model to define the divergence of two correlated asset. The backtesting system is built on backtr…☆22Updated 2 years ago
- 量化研究-多因子模型☆19Updated last year
- Risk Parity and Factors Model on multi asseet management☆22Updated 4 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆27Updated last year
- from for/if/else to my first option back-test function☆16Updated 4 years ago
- ☆15Updated 3 years ago
- ☆18Updated 8 years ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆13Updated 6 years ago