quantgalore / volatility-surface
System for Using Volatility Surfaces to Trade Options - The Quant's Playbook @ Quant Galore
☆12Updated last year
Alternatives and similar repositories for volatility-surface:
Users that are interested in volatility-surface are comparing it to the libraries listed below
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆32Updated 2 years ago
- The notebook with the experiments to replicate and enhance the stock clustering proposed by Han(2022) for alogtrading, with KMeans Optimi…☆13Updated last year
- Delta hedging under SABR model☆30Updated 11 months ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- ☆21Updated 5 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆12Updated 2 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- Dynamic delta hedging (DDH) is a trading strategy that involves hedging a non-linear position with linear instruments. Linear instruments…☆12Updated last year
- ☆22Updated 7 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆21Updated 7 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆62Updated last year
- Method for systematically selecting strikes and managing risk of an SPX-based volatility premium capture strategy. Created by Quant Galor…☆14Updated 2 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Equities Pair Trading/Statistical Arbitrage and Multi-Variable Index Regression☆17Updated last year
- Package to build risk model for factor pricing model☆24Updated 9 months ago
- ☆37Updated 2 years ago
- ☆18Updated 8 years ago
- A Multi-Strategy Quantitative Trading System using the TastyTrade API and Kalshi☆13Updated last year
- Dispersion Trading using Options☆32Updated 8 years ago
- ☆49Updated 4 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆70Updated 4 years ago
- Collection of Models related to market making☆16Updated 4 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- A financial trading method using machine learning.☆60Updated 2 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Construction of local volatility surface by using SABR☆29Updated 7 years ago
- ☆24Updated 6 years ago
- Baruch MFE 2019 Spring☆39Updated 4 years ago
- Developing a trend following model using futures☆31Updated last year