robertmartin8 / ReasonableDeviations
my webpage
☆8Updated last year
Alternatives and similar repositories for ReasonableDeviations:
Users that are interested in ReasonableDeviations are comparing it to the libraries listed below
- A cursory look at the dynamics of zero coupon bond yield curves.☆11Updated 2 years ago
- Code package to analyze high-frequency trading (HFT) races using financial-exchange message data, following Aquilina, Budish and O'Neill …☆45Updated 3 years ago
- By means of stochastic volatility models☆43Updated 4 years ago
- Dashboard to track crypto spot-futures premiums☆53Updated 2 years ago
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆52Updated 4 years ago
- A decade of trend following returns in crypto-asset markets☆25Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆75Updated 6 years ago
- Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB☆36Updated 3 years ago
- Bitmex market microstructure analytics☆21Updated 4 years ago
- Updates, charts, code, data, typos for the book 'Brazilian Derivatives and Securities"☆16Updated 7 months ago
- A collection of scripts for modelling financial markets & options in R.☆52Updated last month
- Machine Learning in Asset Management☆21Updated 5 years ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆40Updated this week
- ☆26Updated last month
- Modelling the implicit volatility, using multi-factor statistical models.☆12Updated 7 months ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆65Updated 5 years ago
- Implementation of PIN ( Probability of Informed trading) on A-Share daily public data (based on Yan Y, Zhang S. An improved estimation me…☆37Updated 4 years ago
- Some codes used for the numerical examples proposed in https://hal.archives-ouvertes.fr/hal-01514987v2 and https://arxiv.org/abs/1705.014…☆21Updated 5 years ago
- Answers to the questions at the back of the chapters of Advances in Financial Machine Learning.☆24Updated 4 years ago
- Package to build risk model for factor pricing model☆24Updated 7 months ago
- Covariance Matrix Estimation via Factor Models☆33Updated 5 years ago
- Example of order book modeling.☆56Updated 5 years ago
- A Practical Guide to a Simple Data Stack.☆39Updated 5 months ago
- Code implementation of the Quantigic 101 Formulaic Alphas☆10Updated 6 years ago
- Dynamic portfolio optimization☆21Updated last year
- One-off scripts/analysis, usually to accompany my blog posts.☆43Updated 3 years ago
- Web GUI for backtesting pair trading statistical arbitrage portfolio strategies☆26Updated 8 years ago
- Streamlit app that shows the seasonal returns of a stock http://aroussi.com/seasonality☆20Updated 2 years ago
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆20Updated 4 years ago
- ☆21Updated 2 years ago