ibaris / VaR
Value at Risk and Backtest Routines
☆21Updated 7 months ago
Related projects ⓘ
Alternatives and complementary repositories for VaR
- Time Series Prediction of Volume in LOB☆53Updated 7 months ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆102Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆112Updated 10 months ago
- Notebooks based on financial machine learning.☆46Updated 4 years ago
- detecting regime of financial market☆31Updated 2 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆38Updated last month
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆50Updated 8 months ago
- Code that I show on my YouTube Channel☆91Updated last year
- Mean-Variance Optimization using DL (pytorch)☆30Updated 2 years ago
- ☆37Updated 3 years ago
- By means of stochastic volatility models☆41Updated 4 years ago
- Notes on Advances in Financial Machine Learning☆76Updated 5 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆34Updated 7 months ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆80Updated last month
- Code for the paper Volatility is (mostly) path-dependent☆53Updated 8 months ago
- ☆20Updated 2 years ago
- ☆31Updated last year
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆73Updated 6 years ago
- ☆57Updated last year
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆55Updated last year
- ☆66Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆47Updated last year
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆72Updated 2 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆59Updated 4 years ago
- Implementation of a variety of Value-at-Risk backtests☆35Updated 5 years ago
- Implements different approaches to tactical and strategic asset allocation☆26Updated last year
- Baruch MFE 2019 Spring☆35Updated 4 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆141Updated last week
- Research Repo (Archive)☆69Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆77Updated last year