jensolson / SPX-Gamma-ExposureLinks
Calculates estimate of market maker gamma exposure derived from S&P 500 index options
☆136Updated 2 months ago
Alternatives and similar repositories for SPX-Gamma-Exposure
Users that are interested in SPX-Gamma-Exposure are comparing it to the libraries listed below
Sorting:
- Dealers' gamma exposure (GEX) tracker☆154Updated 2 years ago
- To classify trades into buyer- and seller-initiated.☆152Updated 2 years ago
- Option and stock backtester / live trader☆272Updated 10 months ago
- A vectorized implementation of py_vollib, that supports numpy arrays and pandas Series and DataFrames.☆142Updated 10 months ago
- Simple backtesting software for options☆189Updated last year
- Option Calculator using Black-Scholes model and Binomial model☆174Updated 5 years ago
- Option visualization python package☆155Updated last year
- ☆360Updated last year
- Option pricing based on Black-Scholes processes, Monte-Carlo simulations with Geometric Brownian Motion, historical volatility, implied v…☆312Updated 7 months ago
- Open source TCA (transaction cost analysis) Python library for FX spot☆245Updated last year
- Vanilla option pricing and visualisation using Black-Scholes model in pure Python☆134Updated 3 years ago
- Options Trader written in Python based off the ib_insync library.☆61Updated 2 years ago
- An event-driven backtester☆110Updated 5 years ago
- Options and Option Strategies analytics for educational purpose using the Black-Scholes Model☆124Updated 3 years ago
- Python codes used in book 'Option Greeks Strategies & Backtesting in Python'☆150Updated 4 years ago
- experiments with pair trading☆319Updated 10 months ago
- A fast, extensible, transparent python library for backtesting quantitative strategies.☆368Updated last year
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- A library to calculate Market Profile (aka Volume Profile) for financial data from a Pandas DataFrame.☆381Updated last year
- Quantamental finance research with python☆153Updated 3 years ago
- In this repository, an event-driven backtester is implemented based on QuantStart articles. The backtester is programmed in Python featur…☆69Updated 4 years ago
- Financial pipeline for the data-driven investor to research, develop and deploy robust strategies. Big Data ingestion, risk factor modeli…☆163Updated last year
- We tested 3 approaches for Pair Trading: distance, cointegration and reinforcement learning approach.☆266Updated 2 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆134Updated 6 years ago
- A dockerized Jupyter quant research environment.☆216Updated this week
- Financial Derivatives Calculator with 171+ Models (Options Calculator)☆233Updated 7 months ago
- trend / momentum and other patterns in financial timeseries☆276Updated 4 years ago
- Python Options Pricing Library☆283Updated 4 years ago
- Source Codes for the Book of Trading Strategies☆179Updated 3 years ago
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - Técnico Li…☆171Updated 6 years ago