ycm / cs230-proj
Deep learning for options pricing.
☆38Updated 4 years ago
Related projects ⓘ
Alternatives and complementary repositories for cs230-proj
- CS7641 Team project☆84Updated 4 years ago
- ☆38Updated 5 years ago
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆86Updated 6 months ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆58Updated 4 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆72Updated 2 years ago
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆49Updated 4 years ago
- Time Series Prediction of Volume in LOB☆53Updated 6 months ago
- Quantitative Investment Strategies (QIS) package implements Python analytics for visualisation of financial data, performance reporting, …☆175Updated this week
- To classify trades into buyer- and seller-initiated.☆129Updated last year
- Collection of notebooks and scripts related to financial engineering, quant-research and algo-trading.☆50Updated 3 months ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆75Updated last year
- Research Repo (Archive)☆69Updated 4 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆140Updated 3 weeks ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆111Updated 10 months ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆79Updated 3 weeks ago
- Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.☆215Updated this week
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆114Updated 5 months ago
- ☆68Updated 4 years ago
- AI based alpha research for trading☆45Updated 2 years ago
- A collection of homeworks of market microstructure models.☆205Updated 6 years ago
- ☆186Updated last year
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆81Updated 3 years ago
- Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"☆78Updated 8 months ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆73Updated 6 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆150Updated 3 years ago
- ☆102Updated 6 years ago
- Notes on Advances in Financial Machine Learning☆76Updated 5 years ago
- Algo Trading Research & Documentation☆13Updated 5 months ago
- PortfolioLab is a python library that enables traders to take advantage of the latest portfolio optimisation algorithms used by professio…☆155Updated 2 years ago
- MlFinLab helps portfolio managers and traders who want to leverage the power of machine learning by providing reproducible, interpretable…☆62Updated last year
- Download Cryptocurrency Option Data from Deribit via public API and stored data in a remote Ubuntu server in an SQLite database.☆28Updated 3 years ago