coolgan / Quantitative-FinanceLinks
Q-quant和因子投资实证汇总
☆23Updated 4 years ago
Alternatives and similar repositories for Quantitative-Finance
Users that are interested in Quantitative-Finance are comparing it to the libraries listed below
Sorting:
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆13Updated 2 years ago
- Risk Parity and Factors Model on multi asseet management☆23Updated 4 years ago
- 雪球结构产品定价☆29Updated 2 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 3 years ago
- 量化FOF框架☆13Updated 6 years ago
- Reading notes and Python implementation for book "Machine Learning for Factor Investing" by Silkdust☆12Updated 2 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 9 months ago
- 基于机器学习的多因子研究框架☆14Updated 5 years ago
- 【Framework】A Multi Factor Strategy based on XGboost, its my homework project in Tsinghua, the Introduction to Quantitative Finance, 2019 …☆17Updated 3 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆36Updated 6 years ago
- SABR Implied volatility asymptotics☆25Updated 5 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- 量化研究-多因子模型☆23Updated 2 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 4 years ago
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆15Updated 4 years ago
- Fama-French models, idiosyncratic volatility, event study☆34Updated 3 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆30Updated 2 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆22Updated 3 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆30Updated 2 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆16Updated 5 years ago
- quantitative asset allocation strategy☆35Updated last year
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Updated 3 years ago
- Backtest Framework designed by YuminQuant&Yumin.☆19Updated last year
- Baruch course - Market Microstructure☆14Updated 9 years ago
- Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python☆12Updated 2 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 3 years ago
- The project aims to profile stocks with similar weekly percentage returns using K-Means Clustering. The project calculates realized volat…☆12Updated 2 years ago
- Equity return and characteristics of China A-Share market☆25Updated 2 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…☆18Updated 7 years ago