Alternatives and similar repositories for covshrink:

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

• ymh1989 / SABR_local_vol
  Construction of local volatility surface by using SABR
  ☆28Updated 7 years ago
• quantrocket-codeload / pairs-pipeline
  Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …
  ☆35Updated 11 months ago
• TYtianyang / scbnn
  Implied volatility surface interpolation with shape-constrained bayesian neural network.
  ☆15Updated 3 years ago
• jerryxyx / TreasuryFutureTrading
  A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change
  ☆76Updated 6 years ago
• hudson-and-thames / meta-labeling
  Code base for the meta-labeling papers published with the Journal of Financial Data Science
  ☆79Updated 2 years ago
• aconstandinou / pairs-trading-equities
  ☆24Updated 6 years ago
• LongOnly / Option-Pricing-under-Uncertainty
  By means of stochastic volatility models
  ☆43Updated 5 years ago
• anthonyng2 / Time-Series-Momentum
  ☆17Updated 8 years ago
• FranklinMa810 / Market-Microstructure
  ☆21Updated 5 years ago
• systamental / factorlab
  FactorLab is a python library that enables the discovery and analysis of alpha and risk factors used in the investment algorithm developm…
  ☆20Updated 2 months ago
• xhshenxin / Micro_Price
  ☆49Updated 3 years ago
• BlackArbsCEO / option_skew_project_public
  ☆35Updated 7 years ago
• enjine-com / mcos
  Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"
  ☆56Updated last year
• BrianNingUT / ArbFreeIV-VAE
  Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.
  ☆30Updated last year
• kurupjayesh / Dispersion-Trading-using-Options
  Dispersion Trading using Options
  ☆32Updated 7 years ago
• jo-cho / trading-rules-using-machine-learning
  A financial trading method using machine learning.
  ☆60Updated 2 years ago
• jo-cho / meta_labeling_simplified
  Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…
  ☆13Updated 3 years ago
• pingfcc99 / FixedIncomeQuantTrading
  ☆17Updated 7 years ago
• anuragsodhi / Options-Pricing
  Quantitative Finance using python - Derivatives Pricing
  ☆43Updated 7 years ago
• useric / MTH9879-Market-Microstructure-Models
  Baruch MFE 2019 Spring
  ☆39Updated 4 years ago
• druce / portfolio_optimization
  Portfolio optimization with cvxopt
  ☆37Updated 2 months ago
• zemengzhoushang / Breakeven_volatility
  Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model
  ☆17Updated 5 years ago
• 1scarecrow1 / Options-Market-Making
  Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask credit. Further, outstanding del…
  ☆10Updated 2 years ago
• Blue-Universe / Time-Series-Analysis-Statistical-Arbitrage
  This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.
  ☆65Updated 5 years ago
• MarcosCarreira / LimitOrderBooks
  Basic Limit Order Book functions
  ☆21Updated 6 years ago
• kartikay94 / Selecting-stock-pairs-for-pairs-trading-while-incorporating-lead-lag-relationship
  ☆19Updated 4 years ago
• sheldon0711 / Pricing-convertible-bonds-
  ☆18Updated 3 years ago
• Sidhus234 / Hurst-Exponent-Trading-Strategy
  ☆39Updated 3 years ago
• Jmaihuire / MTH9875_Volatility_Surface
  This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface
  ☆21Updated 7 years ago
• bstemper / deep_rough_calibration
  C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
  ☆36Updated 6 years ago