wellbeing18 / pgm-oilLinks
We propose using Probabilistic Graphical Models such as Bayesian Networks and Hidden Markov Models to construct a global-macro trading strategy of the Crude Oil Markets.
☆11Updated 7 years ago
Alternatives and similar repositories for pgm-oil
Users that are interested in pgm-oil are comparing it to the libraries listed below
Sorting:
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆36Updated 2 years ago
- quantitative asset allocation strategy☆32Updated 8 months ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆16Updated 6 years ago
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆13Updated 3 years ago
- Design your own Trading Strategy☆39Updated last year
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 years ago
- ☆31Updated 2 years ago
- Implements different approaches to tactical and strategic asset allocation☆39Updated 9 months ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆68Updated 2 years ago
- The project aims to profile stocks with similar weekly percentage returns using K-Means Clustering. The project calculates realized volat…☆12Updated last year
- Derivation of analytical expressions of optimal quotes for market making in options.☆19Updated 3 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆13Updated 7 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- A research project to study the gamma exposure of market-makers in Bitcoin option markets.☆15Updated 5 years ago
- Study of price volume data to analyze an order imbalance strategy for Bitcoin on BitMEX platform☆11Updated 6 years ago
- ☆24Updated 2 years ago
- Option Strategy for Futures☆15Updated 5 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆11Updated 4 years ago
- ☆24Updated 5 years ago
- Processing and performing financial calculations on HFT data☆11Updated 6 years ago
- SABR Implied volatility asymptotics☆23Updated 5 years ago
- Fama-French models, idiosyncratic volatility, event study☆33Updated 3 years ago
- Estimating Option-Implied Probability Distributions for Equity Pricing☆11Updated 5 years ago
- A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading☆18Updated 4 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆15Updated 2 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆13Updated 4 years ago
- ☆18Updated 7 years ago
- ☆14Updated 6 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆29Updated 2 years ago