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alphalens

Performance analysis of predictive (alpha) stock factors

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.

avada

wordpress

bayesian_tree

codesinmac

cpp

cpp-logger-singleton

C++ Logger Singleton

crawlers

cuda

Using CUDA-accelerated Monte Carlo for option pricing. Developing a option pricing system in CUDA.

dremio-kdb-plugin

equinetrading

explicitimpliedvolatility

For the first time we derived a closed form solution for Black-Scholes impled volatility

fem

Solving partial differencial equations using finite elemen method

gpu-computing-for-finance

homeworks

mathematica

matlab

montecarlo

A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM

optionsystem

python

quant

quantsdocument

scrapy-proxies

Random proxy middleware for Scrapy

test

treasuryfuturetrading

A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change