schepal / crypto_gamma_exposureLinks
A research project to study the gamma exposure of market-makers in Bitcoin option markets.
☆15Updated 5 years ago
Alternatives and similar repositories for crypto_gamma_exposure
Users that are interested in crypto_gamma_exposure are comparing it to the libraries listed below
Sorting:
- Market making strategies and scientific papers☆14Updated 2 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆20Updated 3 years ago
- A Python based implementation of swap curve bootstrapping using a multi-dimensional solver.☆11Updated 3 months ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆11Updated 4 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆69Updated 2 years ago
- ☆12Updated 2 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- Option Strategy for Futures☆16Updated 5 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆68Updated 5 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆28Updated 4 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆19Updated 2 years ago
- ☆19Updated 5 years ago
- SABR Implied volatility asymptotics☆23Updated 5 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 7 years ago
- ☆15Updated 3 years ago
- ☆14Updated 6 years ago
- ☆24Updated 5 years ago
- Basic Limit Order Book functions☆22Updated 7 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading☆18Updated 4 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12Updated 4 years ago
- ☆31Updated 2 years ago
- Dispersion Trading using Options☆33Updated 8 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆69Updated last year
- By means of stochastic volatility models☆44Updated 5 years ago
- Stochastic volatility models and their application to Deribit crypro-options exchange☆13Updated last year
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- High Frequency Market Making: Optimal Quoting☆13Updated 2 years ago