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WebClinic's Projects

vnpypro icon vnpypro

quant project base on vnpy and QUANTAXIS

voila icon voila

Backtesting for Bitcoin and Stock Trading Strategies

vol-surface-parametrisation icon vol-surface-parametrisation

Parametrisation of vol surface using Gatheral's SVI methodology and valuation of American options using Kim integral equations

volatile icon volatile

Volatile: your day-to-day trading companion.

volatility-study icon volatility-study

• Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot and options prices data from CBOE and Yahoo Finance • Utilized NumPy, Pandas, and SciPy packages to calculate implied volatility, realized volatility, and risk premiums to measure how the market prices risk • Gathered and plotted daily VIX futures data with Selenium, Seaborn and Matplotlib to study volatility term structure • Examined volatility clustering and built forecasting tools for market risk using correlations of daily absolute returns and volatility at different time lags

volatility-trading icon volatility-trading

A complete set of volatility estimators based on Euan Sinclair's Volatility Trading

volk icon volk

The Vector Optimized Library of Kernels

vollib icon vollib

Fundamentally a swig/python wrapper around Peter Jaeckel's lets_be_rational. lets_be_rational focuses exclusively on Black76, while Vollib extends this to add support for Black-Scholes and Black-Scholes-Merton.

vpin icon vpin

Order flow toxicity; Volume-Synchronized Probability of Informed Trading

vpin-1 icon vpin-1

Vpin caculation and backtesting

vquant icon vquant

backtest framework backtrader like cerebro

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