tschm / cs
my talk for credit suisse
☆35Updated this week
Related projects ⓘ
Alternatives and complementary repositories for cs
- ☆58Updated this week
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆111Updated 9 months ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆49Updated 3 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆73Updated 6 years ago
- Run hierarchical risk parity algorithms☆18Updated this week
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 6 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆50Updated 9 months ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆58Updated 4 years ago
- Time Series Prediction of Volume in LOB☆53Updated 6 months ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆30Updated 4 years ago
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆18Updated 5 years ago
- By means of stochastic volatility models☆41Updated 4 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆36Updated last month
- Notebooks based on financial machine learning.☆46Updated 4 years ago
- ☆46Updated 3 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆55Updated last year
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 6 years ago
- ☆27Updated 7 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆28Updated last year
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆79Updated 3 weeks ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆140Updated 3 weeks ago
- ☆36Updated 3 years ago
- Baruch MFE 2019 Spring☆34Updated 4 years ago
- Backtest result archive for Momentum Trading Strategies☆46Updated 5 years ago
- Common financial risk and performance metrics. Used by zipline and pyfolio.☆51Updated last month
- Financial Portfolio Optimization Algorithms☆52Updated 4 months ago
- Research Repo (Archive)☆69Updated 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 6 months ago
- Optimization techniques on the financial area for the hedging, investment starategies, and risk measures☆41Updated 4 years ago