quantgalore / spx-vol-engine
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)
☆13Updated last year
Related projects: ⓘ
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆71Updated 6 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆58Updated 4 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆48Updated 4 years ago
- Backtest result archive for Momentum Trading Strategies☆43Updated 5 years ago
- ☆96Updated 6 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆41Updated 2 years ago
- ☆37Updated 5 years ago
- CS7641 Team project☆80Updated 4 years ago
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆81Updated 4 months ago
- SVI volatility surface model and an example of China 50ETF option☆56Updated 4 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆130Updated last month
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆34Updated 4 months ago
- ☆46Updated 7 years ago
- Python Code for Quantitative Finance Papers☆32Updated 3 months ago
- ☆23Updated 6 years ago
- ☆75Updated 2 years ago
- Implements different approaches to tactical and strategic asset allocation☆25Updated last year
- ☆51Updated last year
- Calculates estimate of market maker gamma exposure derived from S&P 500 index options☆114Updated 4 years ago
- Code repository for Pricing and Trading Interest Rate Derivatives☆50Updated last year
- This is my github repository where I post trading strategies, tutorials and research on quantitative finance with R, C++ and Python. Some…☆111Updated 3 years ago
- three stochastic volatility model: Heston, SABR, SVI☆80Updated 5 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆91Updated last year
- Dispersion Trading using Options☆26Updated 7 years ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆76Updated this week
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆93Updated 5 years ago
- Baruch MFE 2019 Spring☆28Updated 4 years ago
- ☆46Updated 3 years ago
- ☆41Updated last year
- #易经 #道家 #十二生肖 #姓氏堂号子嗣贞节牌坊 #天文历法 #张灯结彩 #农历 #夜观星象 #廿四节气 #算卜 #紫微斗数 #十二时辰 #生辰八字 #命运 #风水 《始祖赢政之子赢家黄氏江夏堂联富•秦谏——大秦赋》 万般皆下品，唯有读书高。🚩🇨🇳🏹🦔中科红旗，…☆43Updated 4 months ago