mattsta / pygreeks
calculate exact black-scholes option value using pytorch autograd and also calculate greeks using either autograd or numerical approximation
☆12Updated last year
Alternatives and similar repositories for pygreeks:
Users that are interested in pygreeks are comparing it to the libraries listed below
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆39Updated 4 years ago
- my talk for credit suisse☆38Updated this week
- experiments with crypto trading☆15Updated 6 months ago
- By means of stochastic volatility models☆43Updated 4 years ago
- ☆24Updated 2 weeks ago
- Developing a trend following model using futures☆31Updated last year
- Backtest asset allocation strategies in Python with only a background in pandas necessary☆47Updated last year
- Extract and visualize implied volatility from option chain data☆33Updated 2 months ago
- A financial trading method using machine learning.☆58Updated last year
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆29Updated last year
- This repo is for my articles published on Medium.com☆16Updated last year
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆18Updated 6 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆49Updated 3 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆27Updated 4 years ago
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆16Updated 9 months ago
- Different trading strategies using technical analysis. Data: Ethereum/USD 5 minutes bars☆17Updated 3 years ago
- ☆26Updated 5 months ago
- Hawkes with Latency☆19Updated 4 years ago
- Time Series Prediction of Volume in LOB☆56Updated 10 months ago
- ☆16Updated last year
- ☆13Updated last year
- Systematic trading in Python☆12Updated last week
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆57Updated 11 months ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆13Updated 3 years ago
- Repository containing code for article: Quantconnect – A Complete Guide on https://algotrading101.com/☆14Updated 4 years ago
- A scikit-learn compatible classifier to perform trade classification in Python.☆19Updated last week
- Python library for building financial machine learning models.☆32Updated 3 years ago
- ☆21Updated 5 years ago