dannyrussell53 / VRP
Backtesting the thesis paper entitled: Trading volatility Trading strategies based on the VIX term structure
☆29Updated 2 years ago
Alternatives and similar repositories for VRP:
Users that are interested in VRP are comparing it to the libraries listed below
- ☆35Updated last year
- Portfolio optimization with cvxopt☆37Updated 3 weeks ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆69Updated 4 years ago
- ☆39Updated 3 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 8 months ago
- Implements different approaches to tactical and strategic asset allocation☆30Updated last month
- ☆57Updated last year
- Dispersion Trading using Options☆32Updated 7 years ago
- By means of stochastic volatility models☆43Updated 4 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated 9 months ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 5 years ago
- Find trading pairs with Machine Learning☆41Updated 3 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆75Updated 6 years ago
- Time Series Prediction of Volume in LOB☆56Updated 9 months ago
- Code of paper "Stock Price Prediction Incorporating Market Style Clustering" published in Cognitive Computation.☆26Updated 3 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 4 years ago
- A financial trading method using machine learning.☆58Updated last year
- detecting regime of financial market☆34Updated 2 years ago
- ☆23Updated 2 years ago
- Package to build risk model for factor pricing model☆24Updated 6 months ago
- This repo is for my articles published on Medium.com☆16Updated last year
- Baruch MFE 2019 Spring☆37Updated 4 years ago
- Design your own Trading Strategy☆36Updated 11 months ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆116Updated last year
- Vanna-volga pricer for fx options☆9Updated 5 years ago
- Backtest result archive for Momentum Trading Strategies☆49Updated 5 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆28Updated last year
- Visualising correlations between different ETFs using network analytics and Plotly☆33Updated 2 years ago
- A Deep Learning Framework for Neural Derivative Hedging☆30Updated 3 years ago