rbeeli / short-term_momentum_strategy
Short-term momentum trading strategy implemented for the lecture "Systematic risk premia strategies traded at hedge funds" at University of Zurich, FS 2018.
☆33Updated 2 years ago
Related projects ⓘ
Alternatives and complementary repositories for short-term_momentum_strategy
- ☆24Updated 6 years ago
- A financial trading method using machine learning.☆58Updated last year
- Various python scripts to introduce mean reversion concepts.☆21Updated 6 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆34Updated 6 months ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆60Updated 4 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆22Updated last year
- Code for the paper "Hedging with linear regressions and neural networks"☆36Updated 3 years ago
- Dispersion Trading using Options☆26Updated 7 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆12Updated 3 years ago
- Backtest result archive for Momentum Trading Strategies☆46Updated 5 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆30Updated 9 months ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆28Updated last year
- ☆37Updated 3 years ago
- ☆57Updated last year
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆73Updated 6 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆24Updated 6 months ago
- • Visualised trend and seasonality & conducted tests for checking stationarity of Time series for predicting volatility using GARCH Model…☆17Updated last year
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆49Updated 8 months ago
- A low frequency statistical arbitrage strategy☆18Updated 5 years ago
- Code for the paper Volatility is (mostly) path-dependent☆53Updated 7 months ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆12Updated last year
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆58Updated 4 years ago
- ☆31Updated last year
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆44Updated 3 years ago
- Collection of notebooks and scripts related to financial engineering, quant-research and algo-trading.☆52Updated 3 months ago
- This repo is for my articles published on Medium.com☆15Updated last year
- CQF Project based on introducing Pair Trading for Energy Stocks with VAR (Vector Autoregression), Engle Granger Approach, Backtesting, Op…☆14Updated 5 years ago
- Time Series Prediction of Volume in LOB☆53Updated 7 months ago
- AI based alpha research for trading☆46Updated 2 years ago
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 4 years ago