Quantitative Finance

Lobster

Reader for Lobster order book data (https://lobsterdata.com/)

PCA

Study of main drivers for UST curve moves using PCA.

asset_gen

Small library to generate correlated normal returns with various correlation matrices.

cleaning_correlation_matrix

Quick study of several spectral methods to improve empirical estimation of correlation matrices

hurst_fitting and hurst_examples

Estimation of Hurst exponent, a measure of geometric roughness of time series that encapsulates local mean-reversion or trend-following behaviours. Estimation on both simulated and real-world financial data at order book level (stocks, Bund, BTC...)

implied_vol

Toy model for an option volatility marking tool using SVI parametrization.

lasso_selection

Sparse replication of portfolio using Lasso variable selection. The LASSO library used can be found in sauxpa/ML-101/lasso, implementation from scratch in TensorFlow.

low_beta_strategy

Quick study of the performance of low vs high sectorial beta portfolios. Low beta sectors are less correlated with the index thus are more robust to crash periods and can potentially generate higher alpha.

volmodels and volmodels_examples

Libraries for option volatility smile models including:

• Several models: SVI, displaced LN, SABR and extensions, local vol SABR. latent Markov volatility (original work)...
• Implied volatility expansion, extended Hagan formula, Monte Carlo simulations
• Fitting routine to quoted implied volatility