volatility-modeling
There are 102 repositories under volatility-modeling topic.
chibui191/bitcoin_volatility_forecasting
GARCH and Multivariate LSTM forecasting models for Bitcoin realized volatility with potential applications in crypto options trading, hedging, portfolio management, and risk management
ArturSepp/StochVolModels
Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston
marcdemers/py_vollib_vectorized
A vectorized implementation of py_vollib, that supports numpy arrays and pandas Series and DataFrames.
frontmark/jupyter-notebooks
Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks
SiruiJi/ml4frm
Machine learning for financial risk management
csatzky/forecasting-realized-volatility-using-supervised-learning
Traditionally, volatility is modeled using parametric models. This project focuses on predicting EUR/USD volatility using more flexible, machine-learning methods.
AxelMunguiaQuintero/Trading-Cuantitativo-en-Python
Curso diseñado para proporcionar una comprensión muy profunda del Trading Cuantitativo, fusionando los principios de Ingeniería Financiera con el poder de la Inteligencia Artificial, todo implementado en Python. Desarrollarás algoritmos y estrategias avanzadas que aprovechan datos financieros y técnicas de Inteligencia Artificial.
JackJacquier/SABR-Implied-Volatility
SABR Implied volatility asymptotics
MajorLift/volatility-modeling-python-datasci
Undergraduate thesis, Seoul National University Dept. of Economics — "Modeling Volatility and Risk Spillover Between the Financial Markets of US and China Using GARCH Value-at-Risk Forecasting and Granger Causality."
simon-hirsch/ondil
A package for online distributional learning.
qlero/vix_index_modelization
Implementation with a Jupyter Notebook of the VIX index modelization provided in its CBOE white paper.
frankieycy/option-pricing
C++ option pricing library on vanillas & exotics, Python volatility calibration library
aaronsmith1234/volatilipy
Python wrappers around QuantLib and Pandas to easily generate volatility surfaces
white07S/Pricing-Models
Implementation of option pricing models using Numba that performs better. This entire project has utilized as little libraries as possible, even though certain models have their own Machine Learning Model with assessment and performance.
aimaster-dev/mq5-trading-bot
SEW_Trade is an #MT5 Expert Advisor using #SMA/EMA crossovers with #Waddah Attar Explosion confirmation. It features an interactive trade panel, supports up to 5 Take Profits, real-time control, and full MQL5 integration with error handling.
yatshunlee/CAViaR
Measure market risk by CAViaR model
gaelwjl/ML_Optimal_Trading
Collection of numerical methods for high frequency data, in Python notebooks
kedarghule/Stock-Portfolio-Diversification-Using-Clustering-and-Volatility-Prediction
The project aims to profile stocks with similar weekly percentage returns using K-Means Clustering. The project calculates realized volatility for each stock and predicts realized volatility for each stock using classical volatility models and machine learning models and comparing their performance. This is a capstone project for CIVE 7100 Time Series and Geospatial Data Sciences.
imsanjoykb/IBOVESPA-volatility-forecasting
IBOVESPA volatility forecasting
ThecoderPinar/big-tech-financial-insights
🚀 A comprehensive project analyzing Big Tech stock prices using time series analysis, volatility modeling, and macroeconomic indicators. Featuring interactive dashboards and automated reporting! 📈💼
boyla950/predicting-the-pound
MSc Finance dissertation project at Newcastle University. This project focused on forecasting the volatility of exchange rates involving the Great British Pound using EWMA, GARCH-type and Implied Volatility models.
HugzGJ9/Quantitative_Finance
Quantitative Finance Library & Option Trading Tool
jojo142/Stress-Testing-Financial-Portfolios
Stress Testing Financial Portfolios using S&P 500 Stock Data from Kaggle.
YOLOWinnnn/Code-for-fitting-the-GARCH-family-model-to-the-volatility-of-Mainland-China-Low-Carbon-Stocks
项目主要构建了多混频Realized GARCH-MIDAS-X模型，结合社交媒体情绪和高频数据，与 不加社交媒体情绪指标的模型相比，加入后的模型显著提升了内地低碳市场波动预测的准确性。通过稳健 性检验，证明了研究结果的可靠性。该研究丰富了市场波动模型，并为低碳投资和宏观调控提供了参考。
garthmortensen/finance
Contains financial studies work, including capital markets, corporate finance and other topics.
hobinkwak/Volatility-Spillover
computes Volatility Spillover between Cryptocurrency (BTC/USD) and S&P 500 index
Quant-TradingCO/Volatility-and-options
In this repo you will find some tools related to pricing and risk measurement of options. You can find tools to calculate the price of an option like de Black-Scholes or Heston Model, or to get implied volatilities.
SakethAleti/PresAddress-SoFiE2021
Code for the paper "Realized Semi(Co)Variation: Signs that All Volatilities are Not Created Equal"
sam14032000/market_linkages_mgarch-bekk
Study on volatility transmission and protuberance among developed and developing stock markets using multivariate GARCH
anthonymakarewicz/volatility-trading
Daily Volatility trading strategies on Index Equity Options
BianchiGiacomo/deepLearningVolatility
Neural network framework for volatility surface approximation and calibration. Supports rough Heston/Bergomi, random grids, multi-regime architectures.
hkalager/FDR_buckets
This repository includes the scripts to replicate the results of my paper entitled "A False Discovery Rate Approach to Optimal Volatility Forecasting Model Selection".
JPNotleks/VolaDiff
A diffusion model for generating arbitrage-free implied volatility surface forecasts.
sjdKRM/EPAT
Executive Programme in Algorithmic Trading by QuantInsti