newtype07 Goto Github PK

50etf-local-vol-surface

algo-trading-book

Algorithmic and high-frequency trading book

algotrading

Code for the final project in the course 'Algorithmic and High-Frequency Trading' (096291)

alphainspect

factor performance visualization

arbitragerepair

Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.

asian-option-and-lookback-option

Simulation of Asian Option and Lookback Option using Python

autocallable-pricing

Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo

backtest_simulation_of_dynamic_hedge

basket-cds-pricing

binance_orderflow

Derive order flow from Tick and Trade data.

break-even-volatility

Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model

breeden-litzenberger-formula-for-risk-neutral-densities

The Breeden-Litzenberger formula, proposed by Douglas T. Breeden and Robert H. Litzenberger in 1978, is a method used to extract the implied risk-neutral probability density function from observed option prices

crypto-calibration

Stochastic volatility models and their application to Deribit crypro-options exchange

crypto_gamma_exposure

A research project to study the gamma exposure of market-makers in Bitcoin option markets.

cvxbook_additional_exercises

Additional exercises and data for EE364a. No solutions; for public consumption.

dealing-with-inventory-risk

Implementation of Dealing with inventory risk

deamericanization-algorithm

This project aims to construct the dividends and forwards curves for American stocks and indices.

deep-learning-and-scientific-computing-with-r-torch

Deep Learning and Scientific Computing with R torch

directsvi

Direct Least-Squares Method for the SVI implied volatility equation

dynamic-delta-hedging

Dynamic delta hedging (DDH) is a trading strategy that involves hedging a non-linear position with linear instruments. Linear instruments include spot, forward, and futures contracts. DDH helps traders manage the Delta or Gamma of a portfolio without monitoring it

european-options-on-spx-pnl-attribution

We aim to price a European call option on the SPX and calculate a set of risk measures.

forex-trading-final-project-stanfordmse448

Group project of MS&E 448 (Big Financial Data and Algorithmic Trading) at Stanford. It is a project course emphasizing the connection between data, models, and reality. Vast amounts of high volume, high frequency observations of financial quotes, orders and transactions are now available, and poses a unique set of challenges. This type of data will

gs-quantitative-strategies-research-notes

Collection of papers from the Goldman Sachs Quantitative Strategies Research Notes series (published in the '90s)

guilbaud-pham-model

algorithmic trading class by Olivier Gueant

hand-coding-machine-learning-algorithms

hft-retreat-prediction

This project aims to research the action of order retreat of high-frequency trading in Chinese future market, using 0.5 second tick data to make binary classification prediction.

hft_demo

highfrequencytradingsvms

This project implements a high frequency trading strategy that utilizes Support Vector Machines to capture statistical arbitrage in the pricing of Class A and Class C Google stocks.

implementation-queue-reactive-model-article

Implementation of article : "Simulating and analyzing order book data : The queue-reactive model" - (Weibing Huang , Charles-Albert Lehalle and Mathieu Rosenbaum, 2014)

interest-rate-modelling-baruch

Interest Rate Models, Baruch group project