dannyrussell53 / VRPLinks
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
Sorting:
- Portfolio optimization with cvxopt☆38Updated 4 months ago
- Dispersion Trading using Options☆33Updated 8 years ago
- Implements different approaches to tactical and strategic asset allocation☆34Updated 5 months ago
- ☆40Updated 4 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 3 months ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆33Updated 2 years ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 2 years ago
- Developing a trend following model using futures☆32Updated last year
- Code of paper "Stock Price Prediction Incorporating Market Style Clustering" published in Cognitive Computation.☆26Updated 3 years ago
- ☆22Updated 2 years ago
- ☆61Updated 2 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆47Updated 4 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
- By means of stochastic volatility models☆44Updated 5 years ago
- ☆41Updated 2 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 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…☆34Updated 5 years ago
- Algorithmic multi-greek hedges using Python☆20Updated 4 years ago
- Find trading pairs with Machine Learning☆41Updated 4 years ago
- These code have the objetive to calculate all the greeks in a real option contract ( using the Black&Scholes model), greeks like Delta,Th…☆16Updated 3 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 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
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆63Updated 5 years ago
- ☆23Updated 5 years ago
- ☆45Updated last year