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)
☆14Updated last year
Alternatives and similar repositories for spx-vol-engine:
Users that are interested in spx-vol-engine are comparing it to the libraries listed below
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆75Updated 6 years ago
- ☆24Updated 6 years ago
- Delta hedging under SABR model☆27Updated 10 months ago
- ☆36Updated 2 years ago
- Surface SVI parameterisation and corresponding local volatility☆41Updated 4 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆69Updated 4 years ago
- Dispersion Trading using Options☆32Updated 7 years ago
- ☆42Updated 5 years ago
- three stochastic volatility model: Heston, SABR, SVI☆85Updated 6 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆154Updated 2 months ago
- ☆58Updated last year
- Backtest result archive for Momentum Trading Strategies☆50Updated 6 years ago
- quantitative - Quantitative finance back testing library☆63Updated 6 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆65Updated 5 years ago
- CS7641 Team project☆93Updated 4 years ago
- Package to build risk model for factor pricing model☆24Updated 7 months ago
- Cornell Quant Fund 2022 Trading competition Options Case winner☆15Updated 2 years ago
- ☆111Updated 7 years ago
- SVI volatility surface model and an example of China 50ETF option☆63Updated 4 years ago
- Baruch MFE 2019 Spring☆38Updated 4 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆73Updated 3 years ago
- In this repository, an event-driven backtester is implemented based on QuantStart articles. The backtester is programmed in Python featur…☆61Updated 3 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆43Updated 2 years ago
- Options Trader written in Python based off the ib_insync library.☆45Updated last year
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆52Updated 4 years ago
- Option strategy screening algorithms with "ib_insync" ( using Interactive Brokers market data )☆29Updated 4 years ago
- ☆50Updated 7 years ago
- Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predicta…☆29Updated 3 years ago
- A low frequency statistical arbitrage strategy☆19Updated 6 years ago