samsonq / Modifying-Shiller-CAPE-RatioLinks
Modifying the Shiller CAPE Ratio to adjust for changing economic conditions.
☆15Updated 3 years ago
Alternatives and similar repositories for Modifying-Shiller-CAPE-Ratio
Users that are interested in Modifying-Shiller-CAPE-Ratio are comparing it to the libraries listed below
Sorting:
- SABR Implied volatility asymptotics☆23Updated 5 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆32Updated 5 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 7 years ago
- Time Series Prediction of Volume in LOB☆58Updated last year
- Get discount factors and zero rates from interest rate swaps☆11Updated 7 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- In this repository you will find code for our capstone project "How to Predict Stock Movements Using NLP Techniques". The code has been a…☆27Updated 4 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆30Updated 2 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆33Updated last year
- Calibration of a Surface SVI☆13Updated 6 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆92Updated 2 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆79Updated 7 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated 8 months ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆69Updated 2 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- ☆14Updated 6 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- The goal of the project is to build algorithmic trading system.☆27Updated 5 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆30Updated 5 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆92Updated 4 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆29Updated 7 years ago
- This project is based upon the paper: Frazzini, A. & Pedersen, L. (2014). Betting against beta.☆21Updated 3 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆20Updated 3 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 5 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆37Updated 2 years ago
- AI based alpha research for trading☆50Updated 3 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆11Updated 8 years ago
- ☆53Updated 4 years ago