vollib / py_lets_be_rationalLinks
☆67Updated last month
Alternatives and similar repositories for py_lets_be_rational
Users that are interested in py_lets_be_rational are comparing it to the libraries listed below
Sorting:
- A vectorized implementation of py_vollib, that supports numpy arrays and pandas Series and DataFrames.☆144Updated last year
- To classify trades into buyer- and seller-initiated.☆154Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆123Updated last year
- Code for the paper Volatility is (mostly) path-dependent☆71Updated last year
- ☆370Updated last year
- Probability of Backtest Overfitting in Python☆128Updated 2 years ago
- Compute VIX and related volatility indices☆108Updated last year
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆96Updated 2 years ago
- Calculates estimate of market maker gamma exposure derived from S&P 500 index options☆144Updated 5 months ago
- ☆43Updated 10 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 7 years ago
- Python Financial ENGineering (PyFENG package in PyPI.org)☆176Updated 3 months ago
- Open source TCA (transaction cost analysis) Python library for FX spot☆247Updated last year
- three stochastic volatility model: Heston, SABR, SVI☆92Updated 6 years ago
- trend / momentum and other patterns in financial timeseries☆275Updated 4 years ago
- PortfolioLab is a python library that enables traders to take advantage of the latest portfolio optimisation algorithms used by professio…☆175Updated 4 years ago
- SVI volatility surface model and an example of China 50ETF option☆81Updated 5 years ago
- Options and Option Strategies analytics for educational purpose using the Black-Scholes Model☆124Updated 3 years ago
- Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)☆128Updated 5 years ago
- MlFinLab helps portfolio managers and traders who want to leverage the power of machine learning by providing reproducible, interpretable…☆62Updated 2 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆197Updated this week
- Notebooks based on financial machine learning.☆55Updated 5 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆135Updated 6 years ago
- ☆53Updated 8 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆51Updated 5 years ago
- A Python implementation of the rough Bergomi model.☆136Updated 7 years ago
- Pairs Trading with Machine Learning on Distributed Python Platform☆124Updated 3 years ago
- A tool for combining historical data with user-provided forecasts to produce Kelly optimal portfolio allocations☆89Updated 6 months ago
- ☆117Updated last year
- Surface SVI parameterisation and corresponding local volatility☆57Updated 5 years ago