tianyu-z / Tactical_Asset_Allocation_with_Ensemble_Learning_Using_Walk_forward_OptimizationLinks
Capstone Research Project in NYU Courant
☆10Updated 5 years ago
Alternatives and similar repositories for Tactical_Asset_Allocation_with_Ensemble_Learning_Using_Walk_forward_Optimization
Users that are interested in Tactical_Asset_Allocation_with_Ensemble_Learning_Using_Walk_forward_Optimization are comparing it to the libraries listed below
Sorting:
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆34Updated last year
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated last year
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- Fit hidden Markov model to stock returns and backtest strategy with hidden volatility regime filter☆11Updated 6 years ago
- This paper studies how a machine learning algorithm can generate tactical allocation which outperforms returns for a pre-defined benchmar…☆12Updated 4 years ago
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆13Updated 3 years ago
- SABR Implied volatility asymptotics☆22Updated 5 years ago
- ☆17Updated 7 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆12Updated 5 years ago
- Calibration and pricing options in Heston model☆13Updated 7 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- ☆14Updated 3 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆10Updated 2 years ago
- Optimizing the Pairs-Trading Strategy using Deep Reinforcement Learning with Trading and Stop-loss Boundaries☆13Updated 3 years ago
- A new and more effective method for dynamic hedging☆13Updated 7 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- ☆24Updated 5 years ago
- Implementation of a variety of Value-at-Risk backtests☆37Updated 6 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆12Updated 2 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆47Updated 4 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 2 months ago
- Financial applications focusing on portfolio management for Python☆16Updated 2 years ago
- Fama-French models, idiosyncratic volatility, event study☆32Updated 2 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆14Updated 5 years ago
- ☆18Updated 8 years ago