Alternatives and similar repositories for lets_be_rational

Users that are interested in lets_be_rational are comparing it to the libraries listed below

• vollib / py_lets_be_rational
  ☆59Updated 11 months ago
• jktis / Trade-Classification-Algorithms
  To classify trades into buyer- and seller-initiated.
  ☆145Updated 2 years ago
• vicaws / arbitragerepair
  Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.
  ☆120Updated last year
• antdvid / FastAmericanOptionPricing
  Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…
  ☆48Updated 4 years ago
• ArturSepp / StochVolModels
  Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…
  ☆166Updated last month
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆63Updated last year
• jerryxyx / TreasuryFutureTrading
  A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change
  ☆77Updated 6 years ago
• ryanmccrickerd / rough_bergomi
  A Python implementation of the rough Bergomi model.
  ☆121Updated 6 years ago
• hudson-and-thames / meta-labeling
  Code base for the meta-labeling papers published with the Journal of Financial Data Science
  ☆84Updated 2 years ago
• mChataign / DupireNN
  Neural network local volatility with dupire formula
  ☆77Updated 4 years ago
• khrapovs / vix
  Compute VIX and related volatility indices
  ☆107Updated 7 months ago
• Dagalon / PyStochasticVolatility
  This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…
  ☆117Updated 3 weeks ago
• milenavuletic / VolGAN
  Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
  ☆87Updated 4 months ago
• wangys96 / SVI-Volatility-Surface-Calibration
  SVI volatility surface model and an example of China 50ETF option
  ☆76Updated 5 years ago
• cvxgrp / vwap_opt_exec
  Volume Weighted Average Price Optimal Execution
  ☆42Updated 6 years ago
• esvhd / pypbo
  Probability of Backtest Overfitting in Python
  ☆127Updated 2 years ago
• sanjeevai / multi-factor-model
  Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…
  ☆132Updated 6 years ago
• thedatabeat / SVI
  ☆51Updated 8 years ago
• JackJacquier / SSVI
  Surface SVI parameterisation and corresponding local volatility
  ☆50Updated 5 years ago
• MOSEK / PortfolioOptimization
  Material accompanying the MOSEK Portfolio Optimization Cookbook
  ☆93Updated 10 months ago
• xhshenxin / Micro_Price
  ☆50Updated 4 years ago
• thk3421-models / KellyPortfolio
  A tool for combining historical data with user-provided forecasts to produce Kelly optimal portfolio allocations
  ☆84Updated 2 weeks ago
• KangOxford / Volume-Forecasting
  Time Series Prediction of Volume in LOB
  ☆57Updated last year
• RoughStochVol / rBergomi
  C++ implementation of rBergomi model
  ☆24Updated 7 years ago
• IlluvatarEru / ElectronicMarkets
  ☆48Updated 7 years ago
• macrosynergy / macrosynergy
  Macrosynergy Quant Research
  ☆147Updated last week
• mm842 / lobpy
  Python package for a class of tractable SPDE models for limit order book modeling
  ☆35Updated 4 years ago
• OpenSourceRisk / ORE-SWIG
  ☆50Updated last year
• wegamekinglc / Derivatives-Algorithms-Lib
  AAD enabled and scripting included derivatives modeling.
  ☆22Updated last week
• jkirkby3 / fypy
  Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…
  ☆109Updated 4 months ago