Pinned Repositories
AlphaEngine
AlphaTrading
An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implement APT model, BARRA's risk model and dynamic multi-factor model in this project.
ArbFreeIV-VAE
Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.
avellaneda-stoikov
Avellaneda-Stoikov HFT market making algorithm implementation
Code
Golub, Glattfelder and Olsen, ''The Alpha Engine: Designing an Automated Trading Algorithm''
ctpwrapper
上海期货交易所CTP接口 Shanghai Future CTP Interface CTP 6.3.15 Python API Wrapper
DataAnalysis
Here I will store some of my research work done on the data analysis.
DeepReinforcementLearning
A replica of the AlphaZero methodology for deep reinforcement learning in Python
FBR-CN
Fooled by Randomness Chinese Version
VlPetrov
Risk management Tools based on Intrinsic Time and Scaling Laws
GAOYUANYUAN's Repositories
GAOYUANYUAN/VlPetrov
Risk management Tools based on Intrinsic Time and Scaling Laws
GAOYUANYUAN/AlphaEngine
GAOYUANYUAN/AlphaTrading
An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implement APT model, BARRA's risk model and dynamic multi-factor model in this project.
GAOYUANYUAN/ArbFreeIV-VAE
Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.
GAOYUANYUAN/avellaneda-stoikov
Avellaneda-Stoikov HFT market making algorithm implementation
GAOYUANYUAN/Code
Golub, Glattfelder and Olsen, ''The Alpha Engine: Designing an Automated Trading Algorithm''
GAOYUANYUAN/ctpwrapper
上海期货交易所CTP接口 Shanghai Future CTP Interface CTP 6.3.15 Python API Wrapper
GAOYUANYUAN/DataAnalysis
Here I will store some of my research work done on the data analysis.
GAOYUANYUAN/DeepReinforcementLearning
A replica of the AlphaZero methodology for deep reinforcement learning in Python
GAOYUANYUAN/FBR-CN
Fooled by Randomness Chinese Version
GAOYUANYUAN/Heston-Model-Calibration
GAOYUANYUAN/ISAC
Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning
GAOYUANYUAN/Kalman-and-Bayesian-Filters-in-Python
Kalman Filter book using Jupyter Notebook. Focuses on building intuition and experience, not formal proofs. Includes Kalman filters,extended Kalman filters, unscented Kalman filters, particle filters, and more. All exercises include solutions.
GAOYUANYUAN/microprice
GAOYUANYUAN/MTH9879-Market-Microstructure-Models
A collection of homeworks of market microstructure models.
GAOYUANYUAN/Numerical-Methode-for-Finance
This project consists in the implementation of a Neural Network using TensorFlow in order to calibrate the SABR model. The final goal consists in predicting a volatility surface, as described in "Deep Learning Volatility" (2019).
GAOYUANYUAN/Options-market-making-using-a-stochastic-control-approach
Options market making using a stochastic control approach
GAOYUANYUAN/PyPortfolioOpt
Financial portfolio optimisation in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity
GAOYUANYUAN/robust-risk-aware-rl
Some implementations from the paper robust risk aware reinforcement learning
GAOYUANYUAN/SABR_local_vol
Construction of local volatility surface by using SABR
GAOYUANYUAN/SSVI
Surface SVI parameterisation and corresponding local volatility
GAOYUANYUAN/STA2536
For code and snippets for STA 2536: Data Science for Risk Modeling
GAOYUANYUAN/Stochastic-Processes--National-Research-University-Higher-School-of-Economics---Coursera
Course materials for the Coursera MOOC: Stochastic Processes from National Research University Higher School of Economics
GAOYUANYUAN/stochastic-volatility
three stochastic volatility model: Heston, SABR, SVI
GAOYUANYUAN/StochasticBlockmodel
Exploring inference in variants of a stochastic blockmodel for (directed) network data
GAOYUANYUAN/SuanShu-2
Extension of original open-sourced math library, SuanShu.
GAOYUANYUAN/SVI
GAOYUANYUAN/SVI-Volatility-Surface-Calibration
SVI volatility surface model and an example of China 50ETF option
GAOYUANYUAN/Vol-surface-parametrisation
Parametrisation of vol surface using Gatheral's SVI methodology and valuation of American options using Kim integral equations
GAOYUANYUAN/Waiting_Times_and_Number_of_Directional_Changes
Code and experiments described in the "Waiting Times and Number of Directional Changes in Intrinsic Time framework" paper (to be published)