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.
☆40Updated 2 years ago
Alternatives and similar repositories for short-term_momentum_strategy:
Users that are interested in short-term_momentum_strategy are comparing it to the libraries listed below
- Dispersion Trading using Options☆32Updated 7 years ago
- A financial trading method using machine learning.☆58Updated last year
- ☆17Updated 6 years ago
- ☆21Updated 5 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆29Updated last year
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated last week
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated 10 months ago
- ☆57Updated last year
- Various python scripts to introduce mean reversion concepts.☆22Updated 6 years ago
- Portfolio optimization with cvxopt☆37Updated last month
- SVI volatility surface model and an example of China 50ETF option☆63Updated 4 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆65Updated 5 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆57Updated 2 weeks ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- ☆24Updated 6 years ago
- A low frequency statistical arbitrage strategy☆19Updated 6 years ago
- Implements different approaches to tactical and strategic asset allocation☆30Updated 2 months ago
- ☆39Updated 3 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆43Updated 2 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆59Updated 11 months ago
- Delta hedging under SABR model☆25Updated 9 months ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆75Updated 6 years ago
- Semi-automatic analysis of a financial series using Python.☆12Updated 3 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆26Updated 4 years ago
- Cornell Quant Fund 2022 Trading competition Options Case winner☆14Updated 2 years ago
- ☆35Updated 2 years ago
- Python Package: Fitting and Forecasting the yield curve☆36Updated 4 years ago
- • Visualised trend and seasonality & conducted tests for checking stationarity of Time series for predicting volatility using GARCH Model…☆15Updated 2 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆25Updated last year
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago