yuba316 / Pair_Trading_with_Box_Tiao_DecompositionLinks
Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading
☆13Updated 2 years ago
Alternatives and similar repositories for Pair_Trading_with_Box_Tiao_Decomposition
Users that are interested in Pair_Trading_with_Box_Tiao_Decomposition are comparing it to the libraries listed below
Sorting:
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12Updated 4 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆14Updated 2 years ago
- 基于机器学习的多因子研究框架☆14Updated 5 years ago
- Market making strategies and scientific papers☆13Updated 2 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 4 years ago
- ☆19Updated 8 years ago
- Collection of numerical methods for high frequency data, in Python notebooks☆13Updated 4 years ago
- ☆24Updated 5 years ago
- High Frequency Market Making: Optimal Quoting☆13Updated 2 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆29Updated 4 years ago
- from for/if/else to my first option back-test function☆20Updated 5 years ago
- My first high-frequency trading strategy using machine learning☆18Updated 3 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆12Updated 2 years ago
- ☆19Updated 5 years ago
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆17Updated last year
- ☆15Updated 2 years ago
- Testing trading signals of commodity futures☆17Updated 5 years ago
- SABR Implied volatility asymptotics☆23Updated 5 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 5 months ago
- Phd repo☆17Updated 3 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- This trading strategy deploy the copula model to define the divergence of two correlated asset. The backtesting system is built on backtr…☆22Updated 3 years ago
- 雪球结构产品定价☆29Updated 2 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆19Updated 3 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆27Updated last year
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆16Updated 4 years ago
- Deep learning models for high-frequency financial data (limited order book)☆19Updated 6 years ago
- Option Strategy for Futures☆15Updated 5 years ago