juliansester / statistical-arbitrage
Robust Statistical Arbitrage Strategies
☆14Updated 3 years ago
Related projects ⓘ
Alternatives and complementary repositories for statistical-arbitrage
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆23Updated 6 years ago
- Collection of Models related to market making☆14Updated 3 years ago
- ☆18Updated 4 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆12Updated last year
- This repo is for my articles published on Medium.com☆15Updated last year
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆34Updated 6 months ago
- A low frequency statistical arbitrage strategy☆18Updated 5 years ago
- Rebalancing a portfolio with optimal buy/sell decisions using Metaheuristics☆11Updated 3 years ago
- Find trading pairs with Machine Learning☆41Updated 3 years ago
- Implements different approaches to tactical and strategic asset allocation☆26Updated last year
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 6 years ago
- • Visualised trend and seasonality & conducted tests for checking stationarity of Time series for predicting volatility using GARCH Model…☆17Updated last year
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆22Updated last year
- experiments with crypto trading☆16Updated 3 months ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- ☆15Updated 4 years ago
- Developing a trend following model using futures☆31Updated last year
- Dynamic delta hedging (DDH) is a trading strategy that involves hedging a non-linear position with linear instruments. Linear instruments…☆11Updated 11 months ago
- Repo for HFT project in CMF☆26Updated last year
- 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
- ☆15Updated 6 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆21Updated last year
- Baruch course - Market Microstructure☆10Updated 8 years ago
- A Deep Learning Framework for Neural Derivative Hedging☆29Updated 2 years ago
- ☆26Updated 3 years ago
- ☆24Updated 6 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆49Updated 8 months ago
- Dynamic portfolio optimization☆17Updated 11 months ago
- Baruch MFE 2019 Spring☆35Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆28Updated 3 years ago