tschm / csLinks
my talk for credit suisse
☆41Updated this week
Alternatives and similar repositories for cs
Users that are interested in cs are comparing it to the libraries listed below
Sorting:
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Updated 2 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- Financial Portfolio Optimization Algorithms☆59Updated last year
- Time Series Prediction of Volume in LOB☆59Updated last year
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆60Updated last month
- By means of stochastic volatility models☆44Updated 5 years ago
- ☆70Updated 6 months ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆122Updated last year
- Run hierarchical risk parity algorithms☆50Updated this week
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆33Updated 5 years ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆120Updated 2 months ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- Tool to support backtests☆48Updated this week
- Backtest asset allocation strategies in Python with only a background in pandas necessary☆48Updated 2 years ago
- This module allows you to easily create order-based financial markets, add agents with various strategies, and evaluate the actions of ag…☆30Updated 3 years ago
- Portfolio optimization with cvxopt☆40Updated last week
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆60Updated 3 years ago
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆23Updated 7 years ago
- ☆53Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 7 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆51Updated 4 years ago
- ☆47Updated 2 years ago
- ☆34Updated 6 months ago
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆64Updated 8 months ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆41Updated 2 weeks ago
- ☆15Updated 3 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- Research Repo (Archive)☆74Updated 5 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago