• Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot and options prices data from CBOE and Yahoo Finance • Utilized NumPy, Pandas, and SciPy packages to calculate implied volatility, realized volatility, and risk premiums to measure how the market prices risk • …
☆50Feb 9, 2021Updated 5 years ago
Alternatives and similar repositories for Volatility-Study
Users that are interested in Volatility-Study are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆26Dec 26, 2022Updated 3 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Feb 21, 2020Updated 6 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆12Jul 10, 2021Updated 4 years ago
- Backtesting the thesis paper entitled: Trading volatility Trading strategies based on the VIX term structure☆31Dec 20, 2022Updated 3 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆11Sep 18, 2020Updated 5 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- Estimating Option-Implied Probability Distributions for Equity Pricing☆11Aug 25, 2020Updated 5 years ago
- SABR Implied volatility asymptotics☆24May 22, 2020Updated 5 years ago
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Apr 24, 2023Updated 3 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Sep 18, 2021Updated 4 years ago
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆18Sep 11, 2020Updated 5 years ago
- 2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)☆19Dec 11, 2019Updated 6 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆14Dec 11, 2022Updated 3 years ago
- This project is to download and analyze cryptocurrency option data available on Deribit via a public API. Data are collected on an Ubuntu…☆10Sep 17, 2021Updated 4 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- Market making strategies and scientific papers☆14Aug 20, 2023Updated 2 years ago
- Solutions to machine learning HW from bloomberg ml course☆11Jun 23, 2019Updated 6 years ago
- Realized Volatility Forecasting modeling☆20May 5, 2017Updated 9 years ago
- Dispersion Trading using Options☆33Apr 9, 2017Updated 9 years ago
- Trading Strategies based on the gap between Implied and Realized Volatility: A machine learning approach☆15Nov 10, 2019Updated 6 years ago
- Option Strategy for Futures☆19Jul 29, 2020Updated 5 years ago
- ☆16Dec 11, 2020Updated 5 years ago
- I have taken Joel Greenblatt's book and applied his magic formula to listed stock to identify under priced stocks.☆11Jul 14, 2020Updated 5 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- Derivation of analytical expressions of optimal quotes for market making in options.☆24Jun 24, 2022Updated 3 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 9 years ago
- I use a LSTM ( long short term memory model) model to predict the fluctuations of VIX index ( the index of 50ETF options), and trade t…☆14Apr 25, 2019Updated 7 years ago
- The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to ma…☆159Dec 15, 2025Updated 4 months ago
- A look at the DIA ETF using the OpenBB SDK☆14Jan 24, 2023Updated 3 years ago
- Options Scanner☆13Mar 2, 2022Updated 4 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆14Feb 2, 2023Updated 3 years ago
- A web application that provides an array of financial advice.☆11Jun 29, 2020Updated 5 years ago
- DCA analysis on the s&p 500☆25Jan 22, 2026Updated 3 months ago
- GPU virtual machines on DigitalOcean Gradient AI • AdGet to production fast with high-performance AMD and NVIDIA GPUs you can spin up in seconds. The definition of operational simplicity.
- three stochastic volatility model: Heston, SABR, SVI☆96Mar 6, 2019Updated 7 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Mar 18, 2026Updated last month
- Option Volatility and Pricing Models.☆13Feb 24, 2025Updated last year
- ☆21Nov 4, 2022Updated 3 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆121Apr 5, 2019Updated 7 years ago
- Construction of local volatility surface by using SABR☆30Apr 29, 2017Updated 9 years ago
- ☆28Aug 26, 2024Updated last year