GAOYUANYUAN's repositories
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.
ArbFreeIV-VAE
Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.
avellaneda-stoikov
Avellaneda-Stoikov HFT market making algorithm implementation
Code
Golub, Glattfelder and Olsen, ''The Alpha Engine: Designing an Automated Trading Algorithm''
ctpwrapper
上海期货交易所CTP接口 Shanghai Future CTP Interface CTP 6.3.15 Python API Wrapper
DataAnalysis
Here I will store some of my research work done on the data analysis.
DeepReinforcementLearning
A replica of the AlphaZero methodology for deep reinforcement learning in Python
ISAC
Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning
Kalman-and-Bayesian-Filters-in-Python
Kalman Filter book using Jupyter Notebook. Focuses on building intuition and experience, not formal proofs. Includes Kalman filters,extended Kalman filters, unscented Kalman filters, particle filters, and more. All exercises include solutions.
MTH9879-Market-Microstructure-Models
A collection of homeworks of market microstructure models.
Numerical-Methode-for-Finance
This project consists in the implementation of a Neural Network using TensorFlow in order to calibrate the SABR model. The final goal consists in predicting a volatility surface, as described in "Deep Learning Volatility" (2019).
Options-market-making-using-a-stochastic-control-approach
Options market making using a stochastic control approach
PyPortfolioOpt
Financial portfolio optimisation in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity
robust-risk-aware-rl
Some implementations from the paper robust risk aware reinforcement learning
SABR_local_vol
Construction of local volatility surface by using SABR
SSVI
Surface SVI parameterisation and corresponding local volatility
STA2536
For code and snippets for STA 2536: Data Science for Risk Modeling
Stochastic-Processes--National-Research-University-Higher-School-of-Economics---Coursera
Course materials for the Coursera MOOC: Stochastic Processes from National Research University Higher School of Economics
stochastic-volatility
three stochastic volatility model: Heston, SABR, SVI
StochasticBlockmodel
Exploring inference in variants of a stochastic blockmodel for (directed) network data
SuanShu-2
Extension of original open-sourced math library, SuanShu.
SVI-Volatility-Surface-Calibration
SVI volatility surface model and an example of China 50ETF option
Vol-surface-parametrisation
Parametrisation of vol surface using Gatheral's SVI methodology and valuation of American options using Kim integral equations
Waiting_Times_and_Number_of_Directional_Changes
Code and experiments described in the "Waiting Times and Number of Directional Changes in Intrinsic Time framework" paper (to be published)