juanhenao21 / financial_response_spread_yearLinks
Price response function and spread impact analysis in correlated financial markets
☆15Updated 7 months ago
Alternatives and similar repositories for financial_response_spread_year
Users that are interested in financial_response_spread_year are comparing it to the libraries listed below
Sorting:
- Library for simulation and analysis of vanilla and exotic options☆33Updated 5 years ago
- A framework for historical volatility estimation and analysis.☆35Updated 5 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- ☆35Updated 7 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 5 years ago
- Algorithmic multi-greek hedges using Python☆20Updated 4 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆49Updated 5 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆25Updated 7 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 5 years ago
- ☆16Updated 4 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆37Updated 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
- A cursory look at the dynamics of zero coupon bond yield curves.☆13Updated 2 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 3 years ago
- ☆12Updated last year
- Scala OrderBook Reconstructor for high-frequency order-flow data☆16Updated 2 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated last month
- Backtest asset allocation strategies in Python with only a background in pandas necessary☆49Updated 2 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆20Updated 3 years ago
- Bitmex market microstructure analytics☆23Updated 4 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- ☆25Updated 7 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep G…☆29Updated 5 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆30Updated 5 years ago
- ☆19Updated 5 years ago