hudson-and-thames / betting-against-beta
This project is based upon the paper: Frazzini, A. & Pedersen, L. (2014). Betting against beta.
☆8Updated 2 years ago
Alternatives and similar repositories for betting-against-beta:
Users that are interested in betting-against-beta are comparing it to the libraries listed below
- ☆12Updated last year
- ☆11Updated last year
- experiments with crypto trading☆16Updated 9 months ago
- XTX Forecasting Challenge https://challenge.xtxmarkets.com/☆9Updated 5 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- ☆11Updated 3 years ago
- Bitmex market microstructure analytics☆21Updated 4 years ago
- Hawkes with Latency☆20Updated 4 years ago
- Limit Orderbook Replay/Analysis Library☆9Updated 6 years ago
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆17Updated 11 months ago
- ☆26Updated 8 months ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆27Updated 5 years ago
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆8Updated 3 years ago
- ☆26Updated this week
- By means of stochastic volatility models☆44Updated 5 years ago
- In-depth walkthrough of Pipeline, an API for filtering and performing computations on large universes of securities. The Pipeline API is …☆10Updated last year
- Create structured financial data in the form of tick, volume, and dollar bars from unstructured tick data. From Marcos Lopez de Prado's A…☆11Updated 4 years ago
- Implementation of code snippets and exercises in the book Machine Learning for Asset Managers written by Prof. Marcos López de Prado.☆16Updated 4 years ago
- ☆22Updated 7 years ago
- ☆21Updated 5 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 years ago
- Basic Limit Order Book functions☆21Updated 7 years ago
- Option Strategy for Futures☆14Updated 4 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆13Updated 2 years ago
- Code implementations of my studies on the book Advances in Financial Machine Learning☆12Updated 4 years ago
- ☆35Updated 7 years ago
- Dynamic delta hedging (DDH) is a trading strategy that involves hedging a non-linear position with linear instruments. Linear instruments…☆13Updated last year
- ☆15Updated 2 years ago