mattsta / pygreeks
calculate exact black-scholes option value using pytorch autograd and also calculate greeks using either autograd or numerical approximation
☆14Updated last year
Alternatives and similar repositories for pygreeks
Users that are interested in pygreeks are comparing it to the libraries listed below
Sorting:
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Extract and visualize implied volatility from option chain data☆36Updated last month
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆27Updated 5 years ago
- An Automated Trading System for managing and executing multiple trading strategies via Interactive Brokers.☆17Updated 7 months ago
- my talk for credit suisse☆38Updated last week
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆21Updated 6 years ago
- Systematic trading in Python☆12Updated last week
- Contains all the Jupyter Notebooks used in our research☆15Updated 5 years ago
- ☆38Updated 2 years ago
- A research project to study the gamma exposure of market-makers in Bitcoin option markets.☆14Updated 4 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆32Updated 2 years ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆37Updated last year
- Intraday momentum strategy that buys (sells) leveraged ETFs late in the trading session following a significant intraday gain (loss) and …☆25Updated last year
- ☆11Updated 3 years ago
- ☆40Updated 4 years ago
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆17Updated last year
- This project is to download and analyze cryptocurrency option data available on Deribit via a public API. Data are collected on an Ubuntu…☆8Updated 3 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆63Updated last year
- experiments with crypto trading☆16Updated 9 months ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- Advancing in Financial Machine Learning☆16Updated 5 years ago
- Script for Calculating Implied Probability Distribution from Option Prices - The Quant's Playbook @ Quant Galore☆36Updated last year
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆26Updated 4 years ago
- Different trading strategies based on technical analysis using Ethereum/USD 5-minute bars data☆18Updated 4 years ago
- ☆35Updated 7 years ago
- Backtest asset allocation strategies in Python with only a background in pandas necessary☆47Updated last year
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆45Updated 3 weeks ago
- Repository containing code for article: Quantconnect – A Complete Guide on https://algotrading101.com/☆16Updated 4 years ago