Alternatives and similar repositories for VolatilityDecomposition

Users that are interested in VolatilityDecomposition are comparing it to the libraries listed below

• frontmark / jupyter-notebooks
  Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks
  ☆38Updated 4 years ago
• dppalomar / highOrderPortfolios
  Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis
  ☆25Updated 2 years ago
• SaremS / sample_notebooks
  Loose collection of Jupyter notebooks, mostly for my blog
  ☆28Updated 8 months ago
• cvxgrp / exp_util_gm_portfolio_opt
  Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.
  ☆21Updated last year
• RoughStochVol / small-time_asymptotics_fractional
  Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
  ☆12Updated 8 years ago
• cvxgrp / kelly_code
  Code and examples for the project on risk-constrained Kelly gambling
  ☆27Updated 4 years ago
• mfrdixon / Deep_Fundamental_Factors
  Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677
  ☆64Updated 2 years ago
• Sinbad-The-Sailor / Abacus
  Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Depend…
  ☆20Updated last year
• ARahimiQuant / lead-lag-portfolios
  Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…
  ☆22Updated last year
• mawicks / deep-volatility-models
  Volatility models for stock prices using deep learning and mixture models.
  ☆16Updated 2 years ago
• BearsOnMars / Algorithmic_Trading
  This repository contains python code to create, backtest and automate intraday-trading algorithms in financial markets using Machine Lear…
  ☆9Updated 3 years ago
• BlackArbsCEO / hypothesis_driven_strategy_development
  ☆12Updated last year
• mfrdixon / GP-CVA
  ☆14Updated 5 years ago
• mfrdixon / G-Learning-Wealth-Management
  ☆23Updated 3 years ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆10Updated 7 years ago
• sebjai / Portfolio-Wasserstein-Ball
  Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…
  ☆14Updated 2 years ago
• sauxpa / Quant
  Quant finance scripts
  ☆16Updated 3 months ago
• yye9701 / KR_example
  ☆22Updated 3 years ago
• druce / portfolio_optimization
  Portfolio optimization with cvxopt
  ☆39Updated 5 months ago
• RiskLabAI / Notebooks.py
  ☆21Updated last week
• dppalomar / covFactorModel
  Covariance Matrix Estimation via Factor Models
  ☆35Updated 6 years ago
• cvxgrp / lrsm_portfolio
  Portfolio Construction using Stratified Models
  ☆11Updated 4 years ago
• romanmichaelpaolucci / Algorithmic_Portfolio_Hedging
  Algorithmic multi-greek hedges using Python
  ☆20Updated 4 years ago
• Herrsosa / Volatility-and-the-Equity-Risk-Premium
  ☆14Updated 6 years ago
• LRydin / jumpdiff
  JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
  ☆48Updated 2 years ago
• zeyuz35 / Evaluation-of-Machine-Learning-in-Asset-Pricing
  ☆28Updated 4 years ago
• thertrader / Using-random-forest-to-model-limit-order-book-dynamic
  I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead
  ☆28Updated 5 years ago
• mjbommar / rfcorr
  Random Forest-based "Correlation" measures
  ☆15Updated 3 years ago
• edoberton / heston_nandi_garch
  Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…
  ☆13Updated 4 years ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆22Updated 3 years ago