mayabenowitz / Hedgecraft
A portfolio management algorithm for the 21st century.
☆87Updated 4 years ago
Alternatives and similar repositories for Hedgecraft:
Users that are interested in Hedgecraft are comparing it to the libraries listed below
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- Tool to support backtests☆42Updated this week
- Time Series Prediction of Volume in LOB☆55Updated 9 months ago
- 📒 A collection of notes exploring Quantitative Finance concepts with Python☆58Updated 9 months ago
- ☆63Updated this week
- Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)☆38Updated last year
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆55Updated last year
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆138Updated 2 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆115Updated last year
- Code package to analyze high-frequency trading (HFT) races using financial-exchange message data, following Aquilina, Budish and O'Neill …☆45Updated 3 years ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆24Updated 2 years ago
- ☆30Updated 2 years ago
- Hawkes with Latency☆19Updated 4 years ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆40Updated last year
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆62Updated 5 years ago
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆34Updated last year
- Python class and jupyter iPython notebook for pricing a fixed coupon bond☆23Updated 5 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆28Updated last year
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆37Updated this week
- ☆20Updated 2 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 6 years ago
- A collection of projects published by Bloomberg's Quantitative Finance Research team.☆109Updated 3 years ago
- My Quant Research Papers (incl. Coding & Excel Examples)☆105Updated 2 months ago
- Multi-Agent eXchange simulator developed at Oxford-Man Institute☆59Updated 4 years ago
- ☆23Updated this week
- Collection of Python scripts for the book "An Introduction to Econophysics: Contemporary Approaches with Python Simulations"☆29Updated last month
- Covariance Matrix Estimation via Factor Models☆33Updated 5 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…☆62Updated 5 months ago