sanjeevai / smart-beta-portfolio-optimization
Built a smart beta portfolio and compared it to a benchmark index by calculating the tracking error. Built a portfolio using quadratic programming to optimize the weights..
☆65Updated 6 years ago
Alternatives and similar repositories for smart-beta-portfolio-optimization:
Users that are interested in smart-beta-portfolio-optimization are comparing it to the libraries listed below
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆62Updated 11 months ago
- Automatically performs the DCF calculation, sensitivity analysis and Piotroski f-score analysis for a given company. All financial data c…☆46Updated 4 years ago
- Dispersion Trading using Options☆32Updated 8 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆132Updated 6 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆45Updated 4 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- ☆24Updated 6 years ago
- Quantitative Finance using python - Derivatives Pricing☆43Updated 7 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆44Updated 2 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆63Updated 5 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- Capital Asset Pricing Model implementation in python to analyze stock risk and return.☆26Updated 3 years ago
- Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics…☆117Updated 4 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆96Updated 2 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated last month
- Option Pricing, Volatility Prediction, Machine Learning, Black Scholas, Web Crawling☆55Updated 8 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated 11 months ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆50Updated 4 years ago
- Tool to visualize changes in the Black–Scholes model with respect to other variables. 2D or 3D data output. Can also be used to get curre…☆19Updated last year
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆85Updated 4 years ago
- Tracking S&P 500 index with deep learning model☆12Updated last year
- Implementation of the famous Black-Litterman model in Jupyter notebook☆41Updated 4 years ago
- Pair Trading Strategy using Machine Learning written in Python☆116Updated 2 years ago
- Short-term momentum trading strategy implemented for the lecture "Systematic risk premia strategies traded at hedge funds" at University …☆41Updated 3 years ago
- Financial risk analysis on a stocks portfolio through the VaR (Value at Risk), using Monte Carlo Simulation and Multiple Linear Regressio…☆22Updated 4 years ago
- SVI volatility surface model and an example of China 50ETF option☆65Updated 4 years ago
- A financial trading method using machine learning.☆60Updated 2 years ago
- Python code for pricing European and American options with examples for individual stock, index, and FX options denominated in USD and Eu…☆24Updated this week
- AI based alpha research for trading☆47Updated 2 years ago