slydg / Stock-Quantamental-Investing-Analysis
Using Python and Tushare financial database
☆24Updated 4 months ago
Related projects: ⓘ
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆27Updated 5 years ago
- ☆15Updated 7 years ago
- Design your own Trading Strategy☆35Updated 6 months ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆19Updated last year
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 4 years ago
- Testing trading signals of commodity futures☆14Updated 4 years ago
- Implements different approaches to tactical and strategic asset allocation☆25Updated last year
- Python implementation of a sample covariance matrix shrinkage experiment☆31Updated 10 years ago
- Quantitative analysis of fundamentals in quarterly reports by Machine Learning☆22Updated 4 years ago
- Backtest result archive for Momentum Trading Strategies☆43Updated 5 years ago
- Quantative Trading, building a trading strategy by generating alpha, optimizing a portfolio.☆14Updated last year
- Q-quant和因子投资实证汇总☆19Updated 3 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆23Updated 5 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆36Updated 3 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆10Updated last year
- ☆18Updated 2 years ago
- A low frequency statistical arbitrage strategy☆16Updated 5 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆24Updated 4 months ago
- ☆23Updated 6 years ago
- XGBoost is known to be fast and achieve good prediction results as compared to the regular gradient boosting libraries. This project atte…☆24Updated 5 years ago
- Firstly, multiple effective factors are discovered through IC value, IR value, and correlation analysis and back-testing. Then, XGBoost c…☆14Updated 4 years ago
- This paper aims to explore the time series’ proprieties of the features extracted by using the Principal Component Analysis (PCA) techniq…☆14Updated 4 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆34Updated 4 months ago
- SABR Implied volatility asymptotics☆21Updated 4 years ago
- ☆15Updated 6 years ago
- Construction of local volatility surface by using SABR☆25Updated 7 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated 7 months ago
- ☆16Updated 4 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆19Updated 10 months ago