ozencgungor / Pairs_Trading_KalmanLinks
Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.
☆13Updated 3 years ago
Alternatives and similar repositories for Pairs_Trading_Kalman
Users that are interested in Pairs_Trading_Kalman are comparing it to the libraries listed below
Sorting:
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- ☆24Updated 5 years ago
- High Frequency Market Making: Optimal Quoting☆13Updated 2 years ago
- Option Strategy for Futures☆16Updated 5 years ago
- The notebook with the experiments to replicate and enhance the stock clustering proposed by Han(2022) for alogtrading, with KMeans Optimi…☆21Updated last year
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆16Updated 4 years ago
- Market making strategies and scientific papers☆14Updated 2 years ago
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆14Updated 4 years ago
- SABR Implied volatility asymptotics☆24Updated 5 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆22Updated 3 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 4 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆29Updated 7 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆12Updated 4 years ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Updated 3 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆28Updated 2 years ago
- Baruch course - Market Microstructure☆14Updated 9 years ago
- Collection of numerical methods for high frequency data, in Python notebooks☆13Updated 4 years ago
- This trading strategy deploy the copula model to define the divergence of two correlated asset. The backtesting system is built on backtr…☆23Updated 3 years ago
- Order Book Imbalance trading strategy☆11Updated 3 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆38Updated 5 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 7 months ago
- A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading☆18Updated 4 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆13Updated 2 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Momentum Trading Assistant (MTA) is a python program designed to replace a Momentum Trader using the Interactive Brokers Trader Workstati…☆11Updated last month
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆14Updated 2 years ago
- ☆47Updated 2 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago