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:
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆16Updated 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 …☆14Updated 4 years ago
- Fit hidden Markov model to stock returns and backtest strategy with hidden volatility regime filter☆11Updated 7 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆36Updated 2 years ago
- SABR Implied volatility asymptotics☆24Updated 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
- Implements different approaches to tactical and strategic asset allocation☆42Updated 11 months ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- Financial applications focusing on portfolio management for Python☆16Updated 2 years ago
- quantitative asset allocation strategy☆34Updated 10 months ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆28Updated 2 years ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Updated 3 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 7 months ago
- ☆12Updated last year
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆37Updated 2 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆20Updated 3 years ago
- Calibration and pricing options in Heston model☆13Updated 7 years ago
- ☆47Updated 2 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- ☆24Updated 5 years ago
- Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european sw…☆16Updated 6 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- detecting regime of financial market☆41Updated 3 years ago
- ☆24Updated last week
- This repository represents work in progress for the Worldquant University Capstone Project titled: Asset Portfolio Management using Deep …☆86Updated 3 years ago
- Regime detection in historical markets using Hidden Markov Models (HMM) and Support Vector Machines (SVM).☆23Updated 4 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
- Asset allocation and Portfolio Management Course @ Baruch MFE☆15Updated 5 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆12Updated 3 years ago