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EventPrediction_DeepLearning
EventPrediction_DeepLearning PublicContains Source codes and reports for the project of the course IEORE4272 Deep Learning for Operations Research and Financial Engineering
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MachineLearningforTrading
MachineLearningforTrading PublicContains extraction, visualization, manipulation and learning algorithms implemented on historical stock data of Apple, IBM, Google and Goldman sachs. All the codes are in Python and various statis…
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LongShortBetaStrategy
LongShortBetaStrategy PublicConstructed a quantitative factor using Rolling Beta from the CAPM Model and backtested a long short beta trading strategy to beat the S&P 500 Benchmark during high volatile market regimes.
Jupyter Notebook 3
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StructuredPricingEngine
StructuredPricingEngine PublicContains code for the pricing engine of a type of Quanto Option on Libor and STOXX50E. Used GBM model for Stock process simulation and Vasicek model for LIBOR rate simulation. We have assumed that …
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