Backtesting the thesis paper entitled: Trading volatility Trading strategies based on the VIX term structure
☆31Dec 20, 2022Updated 3 years ago
Alternatives and similar repositories for VRP
Users that are interested in VRP are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- A research project to study the gamma exposure of market-makers in Bitcoin option markets.☆15Sep 12, 2020Updated 5 years ago
- Hedge long only portfolio using structural entropy☆16Jul 27, 2022Updated 3 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆14Dec 11, 2022Updated 3 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Dec 26, 2022Updated 3 years ago
- Option Strategy for Futures☆17Jul 29, 2020Updated 5 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Apr 24, 2023Updated 2 years ago
- This algorithm takes a daily position on the SPY ETF by indirectly predicting the change in price through the put/call ratio. I do this b…☆12Jan 16, 2022Updated 4 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆50Feb 9, 2021Updated 5 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆41May 23, 2020Updated 5 years ago
- Time Series Prediction of Volume in LOB☆60Apr 17, 2024Updated last year
- ☆38May 23, 2024Updated last year
- ☆21Nov 4, 2022Updated 3 years ago
- Vectorized quantile backtesting library☆15May 25, 2023Updated 2 years ago
- Signal Processing Tools☆11Feb 18, 2025Updated last year
- A Library for Algorithmic Trading with Alpaca in Python☆22Jun 21, 2024Updated last year
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆12Jul 10, 2021Updated 4 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Sep 18, 2021Updated 4 years ago
- robotRay is a python robo trader bot for several strategies including: 1) naked puts based on a simple vega crush algo, 2) golden cross. …☆15Aug 27, 2021Updated 4 years ago
- Market making strategies and scientific papers☆14Aug 20, 2023Updated 2 years ago
- ☆16Jul 17, 2020Updated 5 years ago
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- Phd repo☆18Jul 14, 2022Updated 3 years ago
- Options Analyzer 2.0☆22Dec 8, 2022Updated 3 years ago
- ☆14Dec 31, 2023Updated 2 years ago
- Translated notes from Matlab to Python for Dave Backus's Macrofoundations class.☆15Oct 11, 2017Updated 8 years ago
- Algorithmic implementation of automated adjustment of delta hedged initialized short straddle deployed over Derivatives (Options) market☆18Dec 29, 2022Updated 3 years ago
- ☆12Dec 21, 2022Updated 3 years ago
- Trading Strategies based on the gap between Implied and Realized Volatility: A machine learning approach☆15Nov 10, 2019Updated 6 years ago
- ☆11Apr 13, 2017Updated 8 years ago
- A Deep Learning Framework for Neural Derivative Hedging☆31Feb 3, 2022Updated 4 years ago
- A Python based implementation of swap curve bootstrapping using a multi-dimensional solver.☆11Aug 17, 2025Updated 7 months ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆16Jul 3, 2021Updated 4 years ago
- A handy tool to quickly analyze the orderbook depth for all Deribit listed options.☆19Jan 13, 2023Updated 3 years ago
- Trying to build an mini tool to place order which can be kept in corner ( on top) to get better visibilty of chart or other windows☆14Jul 3, 2023Updated 2 years ago
- Macroeconomic Foundations for Asset Prices, an undergrad course at NYU☆15Dec 16, 2015Updated 10 years ago
- ☆14Mar 1, 2024Updated 2 years ago
- Strategy backtester for Uniswap V3.☆10Dec 1, 2021Updated 4 years ago
- Repo for Crypto Option Calibration project in CMF☆14Dec 10, 2022Updated 3 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆16Feb 1, 2020Updated 6 years ago