tschm / csLinks
my talk for credit suisse
☆38Updated last week
Alternatives and similar repositories for cs
Users that are interested in cs are comparing it to the libraries listed below
Sorting:
- By means of stochastic volatility models☆44Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆35Updated 2 years ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆53Updated 2 weeks ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆57Updated last year
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- Financial Portfolio Optimization Algorithms☆57Updated last year
- ☆68Updated last month
- A Deep Learning Framework for Neural Derivative Hedging☆30Updated 3 years ago
- Portfolio optimization with cvxopt☆40Updated 6 months ago
- ☆42Updated 2 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆50Updated 3 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 6 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆82Updated 6 months ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago
- ☆40Updated 4 years ago
- ☆51Updated 4 years ago
- Code for the paper Volatility is (mostly) path-dependent☆66Updated 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
- A Python implementation of the rough Bergomi model.☆121Updated 6 years ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆116Updated 5 months ago
- Tool to support backtests☆46Updated last week
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆34Updated 2 years ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆39Updated 9 months ago
- An xVA quantitative library written in python using tensorflow☆18Updated 2 weeks ago
- Research Repo (Archive)☆74Updated 4 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆56Updated 3 years ago
- Run hierarchical risk parity algorithms☆48Updated last week