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Popular repositories

  1. SABR_Volatility_Arbitrage SABR_Volatility_Arbitrage Public

    A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model

    Python 17 6

  2. FactorBackTest FactorBackTest Public

    my first factor-stock-selecting backtest function

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  3. Pair_Trading_with_Box_Tiao_Decomposition Pair_Trading_with_Box_Tiao_Decomposition Public

    Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading

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  4. OptionBackTest OptionBackTest Public

    from for/if/else to my first option back-test function

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  5. Alpha_Strategy_BackTest_System Alpha_Strategy_BackTest_System Public

    A general backtest system for alpha trading strategy

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  6. Default-Probability-with-Black-Cox-Model Default-Probability-with-Black-Cox-Model Public

    Pricing a down-and-out call option with moving barrier in PDE method to calculate the default probability of Dentsply Sirona Inc.

    Jupyter Notebook 1