saboor-ahmad / Market-index-tracking-using-Genetic-Algorithm
Portfolio optimization and index tracking for the FTSE index using genetic algorithm
☆12Updated 7 years ago
Alternatives and similar repositories for Market-index-tracking-using-Genetic-Algorithm:
Users that are interested in Market-index-tracking-using-Genetic-Algorithm are comparing it to the libraries listed below
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆12Updated 4 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆12Updated 2 years ago
- ☆17Updated 4 years ago
- ☆11Updated 4 years ago
- Trading Strategies based on the gap between Implied and Realized Volatility: A machine learning approach☆14Updated 5 years ago
- 基于机器学习的多因子研究框架☆14Updated 4 years ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆14Updated last year
- A hybrid model to predict the volatility of stock index with LSTM and GARCH-type input parameters☆24Updated 4 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆25Updated last year
- This is an internship project aiming to make Attribution Analysis for general equity funds in China market☆14Updated 6 years ago
- Calibration of a Surface SVI☆12Updated 6 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- 多因子选股框架☆21Updated 4 years ago
- 一些研报的复现☆12Updated 6 years ago
- ☆22Updated 2 years ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- 【Framework】A Multi Factor Strategy based on XGboost, its my homework project in Tsinghua, the Introduction to Quantitative Finance, 2019 …☆15Updated 2 years ago
- I use a LSTM ( long short term memory model) model to predict the fluctuations of VIX index ( the index of 50ETF options), and trade t…☆12Updated 5 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆16Updated 2 years ago
- 量化FOF框架☆12Updated 5 years ago
- Dynamic lead/lag inference for time series☆15Updated 5 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆14Updated 3 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆32Updated 5 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 7 years ago
- Stock risk premium prediction via FM/ EXT/ GBDT/ XGB/LBGM. Mengxuan Chen's graduation thesis at WHU.☆14Updated 5 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆14Updated 3 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆12Updated 2 years ago
- my first factor-stock-selecting backtest function☆21Updated 4 years ago
- High Frequency Jump Prediction Project☆35Updated 4 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago