10 projects
factorlasso
Sparse multi-asset factor model estimation with cluster-pooled sign derivation, hierarchical group LASSO (HCGL), adaptive penalty reweighting, and consistent factor covariance assembly
optimalportfolios
Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python
qis
Quantitative Investment Strategies (QIS) package implements Python analytics for visualisation of financial data, performance reporting, analysis of quantitative strategies
bbg-fetch
Python functionality for getting different data from Bloomberg: prices, implied vols, fundamentals
goal-based-allocation
Dynamic Mean-Variance Portfolio Allocation under Regime-Switching Jump-Diffusions
my-github-tests
my github tests
stochvolmodels
Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston
vanilla-option-pricers
Fast and vectorised pricer and implied volatility fitters for Black-Scholes and Merton models
option-chain-analytics
Implementation of data management and outputs queries for Option Chains
quant-screener
Quant product screener
