tschm / cs
my talk for credit suisse
☆38Updated this week
Alternatives and similar repositories for cs:
Users that are interested in cs are comparing it to the libraries listed below
- Underlying package for the 10-line cta☆12Updated last week
- By means of stochastic volatility models☆44Updated 5 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- Portfolio optimization with cvxopt☆38Updated 3 months ago
- ☆63Updated this week
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆44Updated 2 weeks ago
- ☆38Updated 2 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆55Updated 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'.☆32Updated 2 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆118Updated last year
- Research Repo (Archive)☆73Updated 4 years ago
- ☆26Updated this week
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆36Updated last year
- An xVA quantitative library written in python using tensorflow☆18Updated last week
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 7 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆60Updated 2 years ago
- Baruch MFE 2019 Spring☆39Updated 4 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆70Updated 4 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Dispersion Trading using Options☆32Updated 8 years ago
- Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB☆36Updated 4 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆50Updated 3 years ago
- Quantitative Finance using python - Derivatives Pricing☆44Updated 7 years ago
- ☆49Updated 4 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- ☆40Updated 4 years ago
- Code for the paper Volatility is (mostly) path-dependent☆60Updated last year
- Tool to support backtests☆43Updated this week