spd-trading 0.1.3

Estimates the Risk Neutral Density and Historical Density of an underlying and suggests trading intervals based on the Pricing Kernel.

spd_trading

This package estimates the Risk Neutral Density (RND) and Historical Density (HD) of an underlying and suggests a trading strategy based on the Pricing Kernel:

The RND is estimated by Rookley's Method, which uses the option table of one trading day. risk_neutral_density.Calculator.get_rnd

The HD is estimated by a GARCH(1,1) Model, which uses a timeseries of the underlying. historical_density.Calculator.get_hd

The package is part of a Master Thesis, which will be published after grading [1]_. The thesis explains the theoretical background in more detail and gives more references. Furthermore an actual trading strategy was implemented and backtested on real data (BTC options March-September 2019).

The concious desicion of not implementing the actual strategy in the package is due to the high responsibility that would come with publishing such a risky tool. However, the construction of strategies based on the kernels are explained and analyized in the thesis as well.

Installation

Via pip

    pip install spd_trading

Or via download from git:

    pip install git+https://github.com/franwe/spd-trading#egg=spd-trading

Note that in order to avoid potential conflicts with other packages it is strongly recommended to use a virtual environment (venv) or a conda environment.