rediar / Calculate-VIX-ETF-RollDown-Value
Calculate futures contango rolldown for popular 30 day avg maturity VIX ETFs such as SVXY and XIV
☆12Updated last year
Alternatives and similar repositories for Calculate-VIX-ETF-RollDown-Value:
Users that are interested in Calculate-VIX-ETF-RollDown-Value are comparing it to the libraries listed below
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆50Updated 4 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆63Updated 4 years ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆38Updated last week
- Package to build risk model for factor pricing model☆24Updated 5 months ago
- By means of stochastic volatility models☆42Updated 4 years ago
- ☆24Updated 6 years ago
- A research project to study the gamma exposure of market-makers in Bitcoin option markets.☆14Updated 4 years ago
- Basic Limit Order Book functions☆21Updated 6 years ago
- Tool to identify option arbitrage opportunities across different expiries.☆13Updated 2 months ago
- Example of order book modeling.☆56Updated 5 years ago
- Quantitative Finance using python - Derivatives Pricing☆43Updated 6 years ago
- A financial trading method using machine learning.☆59Updated last year
- A market making algorithm based on the Avellaneda Stoikov paper on Deribit derivatives exchange. A gradient boosted model is used for vol…☆10Updated last year
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆45Updated 3 years ago
- Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predicta…☆26Updated 3 years ago
- Get discount factors and zero rates from interest rate swaps☆9Updated 6 years ago
- ☆44Updated 6 years ago
- World Quant University Capstone Project - Swing Trading☆11Updated 2 years ago
- A rebalancing tool to delta-hedge an options portfolio on Deribit Exchange.☆69Updated 2 years ago
- Extract and visualize implied volatility from option chain data☆33Updated last month
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 4 years ago
- Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european sw…☆16Updated 5 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- Intraday momentum strategy that buys (sells) leveraged ETFs late in the trading session following a significant intraday gain (loss) and …☆24Updated 8 months ago
- ☆18Updated 2 years ago
- Hedge long only portfolio using structural entropy☆15Updated 2 years ago
- quantitative - Quantitative finance back testing library☆64Updated 5 years ago
- Dispersion Trading using Options☆31Updated 7 years ago