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.
☆31Updated 2 years ago
Related projects: ⓘ
- 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
- ☆23Updated 6 years ago
- A financial trading method using machine learning.☆56Updated last year
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆71Updated 6 years ago
- Various python scripts to introduce mean reversion concepts.☆21Updated 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
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆10Updated 2 years ago
- ☆16Updated 4 years ago
- A low frequency statistical arbitrage strategy☆16Updated 5 years ago
- Backtest result archive for Momentum Trading Strategies☆43Updated 5 years ago
- Dispersion Trading using Options☆26Updated 7 years ago
- ☆15Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated 7 months ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆48Updated 4 years ago
- ☆34Updated 3 years ago
- • Visualised trend and seasonality & conducted tests for checking stationarity of Time series for predicting volatility using GARCH Model…☆15Updated last year
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆43Updated 3 years ago
- ☆23Updated last year
- ☆46Updated 3 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆19Updated last year
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆23Updated 5 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆73Updated last year
- By means of stochastic volatility models☆41Updated 4 years ago
- Dynamic portfolio optimization☆15Updated 8 months ago
- Time Series Prediction of Volume in LOB☆52Updated 5 months ago
- Python Code for Quantitative Finance Papers☆32Updated 3 months ago
- ☆46Updated 7 years ago
- AI based alpha research for trading☆42Updated 2 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 4 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆24Updated 4 months ago