juliansester / statistical-arbitrage
Robust Statistical Arbitrage Strategies
☆16Updated 3 years ago
Alternatives and similar repositories for statistical-arbitrage:
Users that are interested in statistical-arbitrage are comparing it to the libraries listed below
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆27Updated 6 years ago
- A low frequency statistical arbitrage strategy☆19Updated 6 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆30Updated 2 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- ☆21Updated 5 years ago
- 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
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆8Updated 3 years ago
- Portfolio optimization with cvxopt☆37Updated 2 months ago
- Dynamic portfolio optimization☆21Updated last year
- Collection of Models related to market making☆16Updated 4 years ago
- ☆19Updated 4 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆11Updated 2 years ago
- Developing a trend following model using futures☆31Updated last year
- By means of stochastic volatility models☆43Updated 5 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
- This is the final project of Statistical Arbitrage course and it aims to apply pairs trading in high frequency data to realize auto-tradi…☆18Updated 6 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆65Updated 5 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆60Updated last year
- ☆26Updated 6 months ago
- ☆18Updated 3 years ago
- detecting regime of financial market☆35Updated 2 years ago
- World Quant University Capstone Project - Swing Trading☆11Updated 2 years ago
- Backtesting the thesis paper entitled: Trading volatility Trading strategies based on the VIX term structure☆29Updated 2 years ago
- 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
- Various python scripts to introduce mean reversion concepts.☆22Updated 6 years ago
- Dispersion Trading using Options☆32Updated 7 years ago
- ☆17Updated 8 years ago
- A research project to study the gamma exposure of market-makers in Bitcoin option markets.☆14Updated 4 years ago
- ☆17Updated 6 years ago