gregyjames / CAPM
Capital Asset Pricing Model implementation in python to analyze stock risk and return.
☆26Updated 3 years ago
Alternatives and similar repositories for CAPM:
Users that are interested in CAPM are comparing it to the libraries listed below
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 2 months ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆46Updated 4 years ago
- Portfolio optimization with cvxopt☆38Updated 3 months ago
- ☆24Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Library for simulation and analysis of vanilla and exotic options☆33Updated 4 years ago
- Quantitative Momentum - Investment Strategy inspired by Wesley Gray and Jack Vogel☆39Updated 6 years ago
- Dispersion Trading using Options☆32Updated 8 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
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- ☆60Updated 2 years ago
- Quantitative Finance using python - Derivatives Pricing☆44Updated 7 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆26Updated 2 years ago
- • Visualised trend and seasonality & conducted tests for checking stationarity of Time series for predicting volatility using GARCH Model…☆15Updated 2 years ago
- Repository for teachings on Quant Finance☆49Updated 5 years ago
- A constant proportion portfolio insurance (CPPI) trading algorithm on top of Alpaca's Trading API.☆13Updated 3 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆13Updated 6 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆19Updated 3 years ago
- 'Portfolio Analysis, methods for portfolio optimization'☆22Updated 4 years ago
- Visualising correlations between different ETFs using network analytics and Plotly☆34Updated 3 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆64Updated last year
- ☆17Updated 7 years ago
- Python code for pricing European and American options with examples for individual stock, index, and FX options denominated in USD and Eu…☆25Updated 3 weeks ago
- keywords - Kmeans Clustering, Tsne, PCA, Indian Stocks, Johansen test☆32Updated 6 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆44Updated 2 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- Factor Investing Library☆26Updated 2 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆31Updated 2 years ago
- Financial risk analysis on a stocks portfolio through the VaR (Value at Risk), using Monte Carlo Simulation and Multiple Linear Regressio…☆22Updated 4 years ago