quantgalore / spx-vol-engineLinks
Method for systematically selecting strikes and managing risk of an SPX-based volatility premium capture strategy. Created by Quant Galore (The Quant's Playbook @ Substack)
☆14Updated 2 years ago
Alternatives and similar repositories for spx-vol-engine
Users that are interested in spx-vol-engine are comparing it to the libraries listed below
Sorting:
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆128Updated last year
- Delta hedging under SABR model☆34Updated last year
- SVI volatility surface model and an example of China 50ETF option☆78Updated 5 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆175Updated 2 weeks ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆72Updated 5 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆55Updated 3 months ago
- CS7641 Team project☆97Updated 5 years ago
- Visualize option prices and sensitivities☆54Updated 3 months ago
- ☆47Updated 6 years ago
- A vectorized implementation of py_vollib, that supports numpy arrays and pandas Series and DataFrames.☆137Updated 9 months ago
- A collection of homeworks of market microstructure models.☆258Updated 7 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- Calculates estimate of market maker gamma exposure derived from S&P 500 index options☆135Updated last month
- Surface SVI parameterisation and corresponding local volatility☆50Updated 5 years ago
- Order Imbalance Strategy in High Frequency Trading☆139Updated 7 years ago
- In this repository, an event-driven backtester is implemented based on QuantStart articles. The backtester is programmed in Python featur…☆68Updated 4 years ago
- volatility arbitrage in Heston model☆56Updated 5 months ago
- HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-ma…☆253Updated last month
- ☆52Updated 8 years ago
- Documentation for hangukquant/quantpylib☆35Updated 2 months ago
- ☆117Updated 7 years ago
- To classify trades into buyer- and seller-initiated.☆149Updated 2 years ago
- experiments with pair trading☆315Updated 9 months ago
- Option visualization python package☆155Updated last year
- Volume-Synchronized Probability of Informed Trading☆113Updated 11 years ago
- Code and data for my blogs☆91Updated 4 years ago
- High-frequency statistical arbitrage☆216Updated 2 years ago
- Learning project by project.☆19Updated 4 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆79Updated 7 years ago
- An event-driven backtester☆109Updated 5 years ago