kingofknights / ExcaliburLinks
Market Data Build for Tick By Tick Data
☆11Updated last year
Alternatives and similar repositories for Excalibur
Users that are interested in Excalibur are comparing it to the libraries listed below
Sorting:
- We propose using Probabilistic Graphical Models such as Bayesian Networks and Hidden Markov Models to construct a global-macro trading st…☆11Updated 7 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆12Updated 2 years ago
- The project aims to profile stocks with similar weekly percentage returns using K-Means Clustering. The project calculates realized volat…☆12Updated last year
- convertible bond pricing☆13Updated 10 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆14Updated 2 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 years ago
- Study of price volume data to analyze an order imbalance strategy for Bitcoin on BitMEX platform☆11Updated 6 years ago
- Trading Strategy on S&P500 with different method (Linear Regression, XGBOOST, LSTM, HMM☆10Updated 5 years ago
- Market making strategies and scientific papers☆13Updated 2 years ago
- High Frequency Trading Strategy☆12Updated 6 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12Updated 4 years ago
- ☆17Updated 3 years ago
- Modelling the implicit volatility, using multi-factor statistical models.☆19Updated 4 months ago
- 基于机器学习的多因子研究框架☆14Updated 5 years ago
- Collection of Models related to market making☆18Updated 4 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆11Updated 4 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆20Updated 3 years ago
- Baruch MFE MTH9894☆13Updated 8 years ago
- An economic forecasting model based on Factor Augmented VAR (FAVAR). The FAVAR approach is superior than classic VAR as it incorporates a…☆15Updated 4 years 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 …☆13Updated 3 years ago
- baruch mfe mth9814 financial instruments☆15Updated 7 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆16Updated 6 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
- quantitative asset allocation strategy☆32Updated 7 months ago
- ☆24Updated 5 years ago
- SABR Implied volatility asymptotics☆22Updated 5 years ago
- Basic Limit Order Book functions☆22Updated 7 years ago
- Collection of numerical methods for high frequency data, in Python notebooks☆13Updated 4 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 4 months ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆23Updated 3 years ago