oemof / marketlibLinks
Project to model the trading of energy to different markets using various power plant models
☆15Updated 3 years ago
Alternatives and similar repositories for marketlib
Users that are interested in marketlib are comparing it to the libraries listed below
Sorting:
- detecting regime of financial market☆41Updated 3 years ago
- In this repository, the goal is to predict the tick direction of a stock based on its current order book and trade data. A LSTM Neural Ne…☆21Updated 4 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆22Updated 5 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆88Updated 3 years ago
- SVI volatility surface model and an example of China 50ETF option☆80Updated 5 years ago
- CS7641 Team project☆97Updated 5 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆189Updated 3 months ago
- ☆20Updated 10 months ago
- ☆47Updated 2 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 4 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆54Updated 6 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆38Updated 5 years ago
- ☆52Updated 8 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆29Updated 7 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆56Updated 6 months ago
- Code for the paper Volatility is (mostly) path-dependent☆69Updated last year
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆125Updated 5 years ago
- Regime detection in historical markets using Hidden Markov Models (HMM) and Support Vector Machines (SVM).☆24Updated 4 years ago
- Code for calibrating the SABR model, used to model implied volatility smiles, described in the paper https://www.researchgate.net/publica…☆12Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆33Updated last year
- Research Repo (Archive)☆75Updated 5 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆125Updated 9 months ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆92Updated 2 years ago
- Surface SVI parameterisation and corresponding local volatility☆53Updated 5 years ago
- Backtest result archive for Momentum Trading Strategies☆64Updated 6 years ago
- Mean Reversion Trading Strategy☆29Updated 4 years ago
- Pairs Trading with Machine Learning on Distributed Python Platform☆122Updated 3 years ago
- GARCH and Multivariate LSTM forecasting models for Bitcoin realized volatility with potential applications in crypto options trading, hed…☆293Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆121Updated last year