ibaris / VaR
Value at Risk and Backtest Routines
☆23Updated last year
Alternatives and similar repositories for VaR
Users that are interested in VaR are comparing it to the libraries listed below
Sorting:
- Portfolio optimization with cvxopt☆38Updated 3 months ago
- ☆18Updated 8 years ago
- ☆38Updated 2 years ago
- ☆22Updated 3 years ago
- ☆60Updated 2 years ago
- detecting regime of financial market☆36Updated 2 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆57Updated last year
- Neural network local volatility with dupire formula☆76Updated 3 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
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆70Updated 4 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆32Updated 2 years ago
- Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB☆36Updated 4 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆77Updated 3 years ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆39Updated 7 months ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆63Updated 2 years ago
- Notebooks based on financial machine learning.☆50Updated 4 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- Statistical Jump Models in Python, with scikit-learn-style APIs☆69Updated 4 months ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Mean-Variance Optimization using DL (pytorch)☆31Updated 3 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Notes on Advances in Financial Machine Learning☆79Updated 6 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆86Updated 4 years ago
- ☆64Updated 2 weeks ago
- Research Repo (Archive)☆73Updated 4 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆110Updated 6 years ago
- Implementation of a variety of Value-at-Risk backtests☆36Updated 5 years ago