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?"☆35Updated 2 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
- The project aims to profile stocks with similar weekly percentage returns using K-Means Clustering. The project calculates realized volat…☆12Updated last year
- 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
- Apply LASSO in High-Frequency-Trading☆9Updated 6 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 years ago
- quantitative asset allocation strategy☆32Updated 6 months ago
- ☆24Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆13Updated 6 years 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
- Crypto-Options Volatility Surface Calibration and Arbitrage☆14Updated 2 years ago
- Design your own Trading Strategy☆38Updated last year
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆65Updated 2 years ago
- A research project to study the gamma exposure of market-makers in Bitcoin option markets.☆14Updated 4 years ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆55Updated 4 years ago
- Usage of policy gradient reinforcement learning to solve portfolio optimization problems (Tactical Asset Allocation).☆33Updated 6 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆20Updated 3 years ago
- Study of price volume data to analyze an order imbalance strategy for Bitcoin on BitMEX platform☆11Updated 6 years ago
- convertible bond pricing☆13Updated 10 years ago
- Quantitative analysis of fundamentals in quarterly reports by Machine Learning☆22Updated 5 years ago
- ☆17Updated 7 years ago
- Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python☆12Updated 2 years ago
- Processing and performing financial calculations on HFT data☆11Updated 6 years ago
- ☆14Updated 6 years ago
- High Frequency Trading (HFT) done using the Alpaca Trade API and Python.☆25Updated 5 years ago
- Robust Statistical Arbitrage Strategies☆16Updated 3 years ago
- Option Strategy for Futures☆14Updated 5 years ago
- Find trading pairs with Machine Learning☆41Updated 4 years ago