vicaws / arbitragerepairLinks
Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.
☆119Updated last year
Alternatives and similar repositories for arbitragerepair
Users that are interested in arbitragerepair are comparing it to the libraries listed below
Sorting:
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆165Updated 3 weeks ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 6 years ago
- A Python implementation of the rough Bergomi model.☆121Updated 6 years ago
- Code for the paper Volatility is (mostly) path-dependent☆62Updated last year
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆70Updated 5 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- Neural network local volatility with dupire formula☆77Updated 4 years ago
- To classify trades into buyer- and seller-initiated.☆144Updated 2 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆75Updated 5 months ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆112Updated 6 years ago
- CS7641 Team project☆95Updated 4 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆82Updated 3 months ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆81Updated 2 years ago
- Research Repo (Archive)☆73Updated 4 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆117Updated this week
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆118Updated last year
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- Surface SVI parameterisation and corresponding local volatility☆49Updated 5 years ago
- Notebooks based on financial machine learning.☆50Updated 5 years ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆109Updated 3 months ago
- Quantamental finance research with python☆149Updated 3 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆159Updated 4 years ago
- ☆41Updated 2 years ago
- SVI volatility surface model and an example of China 50ETF option☆74Updated 5 years ago
- ☆48Updated 7 years ago
- Python Financial ENGineering (PyFENG package in PyPI.org)☆163Updated 7 months ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆114Updated 3 months ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆131Updated 6 years ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆165Updated last year
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago