Pinned Repositories
EfficientFrontier
FallenAngelRiskPremia
Long Short Fallen Angel Premia
FXHedgeCost
Analysis of International Hedging Costs for UST
Gerber
Package for using the Gerber Statistic for various statistical techniques.
LSPair
Long Short Pair Analysis
MarketConcentration
An analysis of Small Caps and Large Caps during periods of dislocation between them
MarkovRegimeSwitching
MBSDuration
MBS Duration Analysis
PCAFlylet
Yield Curve Flylets
StreamlitEfficientFrontier
diegodalvarez's Repositories
diegodalvarez/StreamlitEfficientFrontier
diegodalvarez/MarkovRegimeSwitching
diegodalvarez/PCAFlylet
Yield Curve Flylets
diegodalvarez/EfficientFrontier
diegodalvarez/FallenAngelRiskPremia
Long Short Fallen Angel Premia
diegodalvarez/FXHedgeCost
Analysis of International Hedging Costs for UST
diegodalvarez/Gerber
Package for using the Gerber Statistic for various statistical techniques.
diegodalvarez/LSPair
Long Short Pair Analysis
diegodalvarez/MarketConcentration
An analysis of Small Caps and Large Caps during periods of dislocation between them
diegodalvarez/MBSDuration
MBS Duration Analysis
diegodalvarez/NYFedFinancialsCondition
Analysis of NYFed Financial Conditions Indicator
diegodalvarez/SkewDrawdown
An Analysis of Returns Skew and Volatility
diegodalvarez/SyntheticFuturesAnalysis
Futures Project
diegodalvarez/TreasuryPCAZscoreRV
Treasury Yield Curve PCA Residuals Z-Score Relative Value
diegodalvarez/TrendConvexity
Trend Convexity
diegodalvarez/TrendisNotDead
diegodalvarez/EMFactor
Analysis of Emerging Markets Factors
diegodalvarez/Empyrial
AI and data-driven quantitative portfolio management for risk and performance analytics 投资组合管理
diegodalvarez/FedCurveConvexity
Curve Convexity via Butterflys for Fed Funds Analysis
diegodalvarez/LSPairStreamlit
Streamit Tool For Long/Short Pair Analysis
diegodalvarez/LSPort
Long Short Pair Backtesting Tool
diegodalvarez/LSPortStreamlit
Streamlit Version of LSPort
diegodalvarez/RStar
RStar
diegodalvarez/SAM
Streaming Analytics Machine
diegodalvarez/SOFRTreasuryPCA
Analyzing the different PCs from PCA of SOFR and Treasury Curve
diegodalvarez/SwaptionVolPCASurface
ATM Swaption Volatility Surface PCA
diegodalvarez/TopologicalDataAnalysis
diegodalvarez/VIX_MOVE_Corr
Analyzing VIX / MOVE disconnect by including dispersion
diegodalvarez/whitepapers
diegodalvarez/YieldCurveDriver
Yield Curve Inversion Analysis for future market returns