mattsta / pygreeksLinks
calculate exact black-scholes option value using pytorch autograd and also calculate greeks using either autograd or numerical approximation
☆17Updated 2 years ago
Alternatives and similar repositories for pygreeks
Users that are interested in pygreeks are comparing it to the libraries listed below
Sorting:
- my talk for credit suisse☆41Updated last week
- Backtest asset allocation strategies in Python with only a background in pandas necessary☆48Updated 2 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- An Automated Trading System for managing and executing multiple trading strategies via Interactive Brokers.☆19Updated last year
- Real-time & historical data API for US stocks and options☆67Updated last year
- Systematic trading in Python☆12Updated last week
- low latency, high throughput load balancer for real time stock market trade feed (using polygon.io websocket API)☆54Updated 2 years ago
- Portfolio optimization with cvxopt☆40Updated 3 weeks ago
- Tools to work with Interactive Brokers using ib_insync☆23Updated last year
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆61Updated last month
- Labels calculation&visualisation - comes with a small BTC/USDT database. Part of my research. Integral part of: https://arxiv.org/abs/201…☆27Updated 3 years ago
- Hexital - Incremental Technical Analysis Library☆27Updated 6 months ago
- Get meaningful OHLCV datasets☆93Updated last week
- Extract and visualize implied volatility from option chain data☆46Updated 7 months ago
- ☆50Updated 2 years ago
- An Interactive Brokers integration for Deephaven☆75Updated last month
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆33Updated 5 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆23Updated 7 years ago
- The Option Lab is an automated backtesting framework for option trading strategies. The results generated by the code are visualised on o…☆58Updated 3 years ago
- Script for Calculating Implied Probability Distribution from Option Prices - The Quant's Playbook @ Quant Galore☆42Updated 2 years ago
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆64Updated 9 months ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Updated 2 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆51Updated 4 years ago
- Advances in Financial Machine Learning by Marcos Lopez De Prado☆54Updated 6 years ago
- A tool for combining historical data with user-provided forecasts to produce Kelly optimal portfolio allocations☆89Updated 6 months ago
- By means of stochastic volatility models☆44Updated 5 years ago
- A tool for portfolio managers: use the Black-Litterman model to view optimal portfolio allocations using several of the most popular opti…☆84Updated last year
- Fast Technical Indicators speed up with Numba☆45Updated 2 years ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆120Updated 2 months ago