manajit04 / Fixed-Income-Quant-TradingLinks
Fixed-Income-Quant-Trading Projects
☆15Updated 7 years ago
Alternatives and similar repositories for Fixed-Income-Quant-Trading
Users that are interested in Fixed-Income-Quant-Trading are comparing it to the libraries listed below
Sorting:
- ☆18Updated 7 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 7 years ago
- SOFR curve bootstrapping☆26Updated 5 years ago
- ☆24Updated 5 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆135Updated 6 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆30Updated 7 years ago
- Baruch MFE 2019 Spring☆44Updated 5 years ago
- Delta hedging under SABR model☆43Updated last year
- Reimplementing QuantLib examples by Python☆66Updated 3 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆49Updated 4 years ago
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago
- Implementation of PIN ( Probability of Informed trading) on A-Share daily public data (based on Yan Y, Zhang S. An improved estimation me…☆41Updated 5 years ago
- Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predicta…☆36Updated 4 years ago
- ☆19Updated 3 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆74Updated 5 years ago
- Assignments submitted for the Certification in Quantitative Finance (CQF) 2016☆35Updated 7 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆52Updated 5 years ago
- ☆25Updated 7 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask credit. Further, outstanding del…☆10Updated 3 years ago
- Implementation of the famous Black-Litterman model in Jupyter notebook☆41Updated 5 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆22Updated 3 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆69Updated 5 years ago
- Fama-French models, idiosyncratic volatility, event study☆34Updated 3 years ago
- AI based alpha research for trading☆51Updated 3 years ago
- generic project files☆39Updated 9 years ago
- Package to build risk model for factor pricing model☆27Updated last year
- By means of stochastic volatility models☆44Updated 5 years ago
- Option Pricing, Volatility Prediction, Machine Learning, Black Scholas, Web Crawling☆59Updated 9 years ago
- CQF Project based on introducing Pair Trading for Energy Stocks with VAR (Vector Autoregression), Engle Granger Approach, Backtesting, Op…☆15Updated 6 years ago