A collection of scripts for modelling financial markets and options in R.
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Straddle Analysis - Looking at 30 DTE ATM straddles implied vs close to close historical volatility
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SP500 Sector Direction Analysis - Looking at forecasting market direction using ATM call/put IV differential
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Volatility Estimation Forecasting - Historical volatility estimation methods from Euan Sinclair's "Volatility Trading" book as well as some GARCH models
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Heston Stochastic Vol - Heston stochastic volatility model from NMOF package by Enrico Schumann, for further experimentation
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Bayesian Hurst - Estimate the Hurst exponent using MCMC for different time periods
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Rolling Volatility Estimation - Comparing close-close with volatility estimation models on different rolling time windows
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Clenow Momentum - Andreas Clenow's Momentum ranking methodology from the book "Stocks on the Move"
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TQQQ Timing - Using machine learning with technical indicators to time going long TQQQ
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Technical Analysis - Looking at correlation between various TA and next day's O2C log returns
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Qullamaggie Scanner - A stock scanner roughly based on the work of Kristjan Kullamägi
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Heston Sim - Heston Stochastic model for simulating volatility/stock prices
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Jump-Diffusion Sim - Jump-Diffusion model for simulating volatility/stock prices
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American Option Pricing - Different methods for estimating American option prices: binomial trees, least squares monte carlo, finite difference method
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Heston Full Fit - Fitting Heston model parameters & simulating stock prices with it
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Particle Filter - Simple particle filter model & strategy with Bayesian optimization of model parameters